Abstract
High- and multi-dimensional array data are becoming increasingly available. They admit a natural representation as tensors and call for appropriate statistical tools. We propose a new linear autoregressive tensor process (ART) for tensor-valued data, that encompasses some well-known time series models as special cases. We study its properties and derive the associated impulse response function. We exploit the PARAFAC low-rank decomposition for providing a parsimonious parameterization and develop a Bayesian inference allowing for shrinking effects. We apply the ART model to time series of multilayer networks and study the propagation of shocks across nodes, layers and time.
Original language | English |
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Pages (from-to) | 429-439 |
Number of pages | 11 |
Journal | Journal of Business & Economic Statistics |
Volume | 41 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2023 |