Simultaneous Decorrelation of Matrix Time Series

Yuefeng Han, Rong Chen, Cun-Hui Zhang & Qiwei Yao
We propose a contemporaneous bilinear transformation for a p × q matrix time series to alleviate the difficulties in modeling and forecasting matrix time series when p and/or q are large. The resulting transformed matrix assumes a block structure consisting of several small matrices, and those small matrix series are uncorrelated across all times. Hence, an overall parsimonious model is achieved by modeling each of those small matrix series separately without the loss of information...
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