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tensorTS: Factor and Autoregressive Models for Tensor Time Series
Factor and autoregressive models for matrix and tensor valued time series. We provide functions for estimation, simulation and prediction. The models are discussed in Li et al (2021) <arXiv:2110.00928>, Chen et al (2020) <DOI:10.1080/01621459.2021.1912757>, Chen et al (2020) <DOI:10.1016/j.jeconom.2020.07.015>, and Xiao et al (2020) <arXiv:2006.02611>.
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Package details |
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| Author | Zebang Li [aut, cre], Ruofan Yu [aut], Rong Chen [aut], Yuefeng Han [aut], Han Xiao [aut], Dan Yang [aut] |
| Maintainer | Zebang Li <zl326@stat.rutgers.edu> |
| License | GPL (>= 2) |
| Version | 1.0.1 |
| URL | https://github.com/zebang/tensorTS |
| Package repository | View on CRAN |
| Installation |
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