Additive Matrix Integer-Valued Autoregressive Model

Abstract

Contemporary data-driven and technology-integrated era, various matrix-valued integer-valued time series, such as cross-regional crime statistics, multi-category sales records, and network traffic matrices, exhibit high dimensionality, complex structures, and strong row-column intertwined dependencies. Although the existing matrix integer-valued autoregressive (MINAR) model provides a framework that directly handles matrix data and captures bidirectional row-column dependencies, it suffers from limited interpretability and inflexible structural representation, as its parameters often lack clear empirical meaning and the model cannot separately distinguish the effects arising from rows, columns, and lagged dynamics. To overcome these drawbacks, this paper proposes the additive matrix integer-valued autoregressive (Add-MINAR) model. By introducing an additive structure that explicitly decomposes the matrix response into row effects, column effects, and lagged effects, the proposed model not only preserves the matrix-valued nature but also significantly enhances parameter interpretability and structural flexibility. Two estimation methods, namely projection estimation and iterative conditional least squares estimation, are developed for parameter identification and inference, and their asymptotic properties, including consistency and asymptotic normality, are rigorously established. Simulation results show that the iterative conditional least squares estimator generally outperforms the projection estimator in most scenarios. Empirical analysis of Chicago crime data further demonstrates that the Add-MINAR model achieves superior in-sample fitting and out-of-sample forecasting performance compared to benchmark models such as MINAR, making it particularly suitable for practical applications with explicit row-column interaction features.