Random Matrix Time Series
Methodology
2023-08-07 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, a time series model with coefficients that take values from random matrix ensembles is proposed. Formal definitions, theoretical solutions, and statistical properties are derived. Estimation and forecast methodologies for random matrix time series are discussed with examples. Random matrix differential equations and potential applications of the time series model are suggested at the end.
Cite
@article{arxiv.2203.12789,
title = {Random Matrix Time Series},
author = {Peiyuan Teng and Min Xu},
journal= {arXiv preprint arXiv:2203.12789},
year = {2023}
}
Comments
15 pages