Abstract
In this paper, a time series model is proposed, where the coefficients take values from random matrix ensembles. Formal definitions, theoretical solutions, and statistical properties are derived. Estimation and forecast methodologies for random matrix time series are discussed, accompanied by examples. Additionally, the paper suggests random matrix differential equations and explores potential applications of the time series model at the end.
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This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors. The authors would like to express their gratitude to the reviewers of this paper for their valuable suggestions.
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Teng, P., Xu, M. Random Matrix Time Series. J Stat Theory Pract 17, 42 (2023). https://doi.org/10.1007/s42519-023-00339-2
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DOI: https://doi.org/10.1007/s42519-023-00339-2