In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime switches in the dynamics of matrices that are not abrupt. In this paper, we extend linear matrix-variate autoregressive models by introducing a regime-switching model capable of accounting for smooth changes, the matrix smooth transition autoregressive model. We present the estimation processes with the asymptotic properties demonstrated with simulated and real data.
翻译:在许多应用中,数据被观察为具有时间依赖性的矩阵。矩阵变换时间序列模型是计量经济学的一个新分支。虽然在若干领域存在典型化的事实,但现有模型并不说明在不突然的矩阵动态中存在系统开关。在本文中,我们通过引入一个能够计算平稳变化的系统转换模型,即矩阵平稳过渡自动递减模型,扩展线性矩阵变换自动递减模型。我们用模拟和真实数据演示的无药可依的特性来介绍估算过程。