tensorTS

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.