High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to rearrange the coefficient matrices of the model into a tensor form such that …