Bayesian Dynamic Tensor Regression. Issue 2 (3rd April 2023)
- Record Type:
- Journal Article
- Title:
- Bayesian Dynamic Tensor Regression. Issue 2 (3rd April 2023)
- Main Title:
- Bayesian Dynamic Tensor Regression
- Authors:
- Billio, Monica
Casarin, Roberto
Iacopini, Matteo
Kaufmann, Sylvia - Abstract:
- 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.
- Is Part Of:
- Journal of business & economic statistics. Volume 41:Issue 2(2023)
- Journal:
- Journal of business & economic statistics
- Issue:
- Volume 41:Issue 2(2023)
- Issue Display:
- Volume 41, Issue 2 (2023)
- Year:
- 2023
- Volume:
- 41
- Issue:
- 2
- Issue Sort Value:
- 2023-0041-0002-0000
- Page Start:
- 429
- Page End:
- 439
- Publication Date:
- 2023-04-03
- Subjects:
- Bayesian inference -- Dynamic networks -- Forecasting -- Multidimensional autoregression -- Tensor models
Economics -- Statistical methods -- Periodicals
Commercial statistics -- Periodicals
Économie politique -- Méthodes statistiques -- Périodiques
Statistique commerciale -- Périodiques
330.015195 - Journal URLs:
- http://www.tandfonline.com/toc/ubes20/current ↗
http://www.catchword.com/titles/10857117.htm ↗
http://www.jstor.org/journals/07350015.html ↗
http://www.tandf.co.uk/journals/titles/07350015.asp ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/07350015.2022.2032721 ↗
- Languages:
- English
- ISSNs:
- 0735-0015
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4954.661000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 26911.xml