Description
Factor and Autoregressive Models for Tensor Time Series.
Description
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) <doi:10.48550/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) <doi:10.48550/arXiv.2006.02611>.
README.md
tensorTS
Factor and Autoregressive Models for Tensor Time Series
The R package tensorTS includes methods in our recent papers, including Factor and Autoregressive Models for High-Dimensional tensor Time Series. To have more details please see the manual file for the full documentation.
Installation
You can install the released version of tensorTS from CRAN with:
install.packages("tensorTS")
And the development version from GitHub with:
# install.packages("devtools")
devtools::install_github("ZeBang/tensorTS")