Adaptively robust high-dimensional matrix factor analysis under Huber loss function

DOI10.1016/J.JSPI.2023.106137MaRDI QIDQ6541938zbMATH OpenFDO

Authors Yinzhi Wang, Yingqiu Zhu, Qiang Sun, Lei Qin

Publication date 21 May 2024

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JSPI.2023.106137

zbMATH Keywords

adaptively robust estimationheavy-tailed dataHuber lossmatrix factor model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Adaptive Huber Regression
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Determining the Number of Factors in Approximate Factor Models
• Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions
• Estimation of latent factors for high-dimensional time series
• Factor modeling for high-dimensional time series: inference for the number of factors
• Factor models for matrix-valued high-dimensional time series
• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
• Inferential Theory for Factor Models of Large Dimensions
• Matrix analysis and applications
• Projected estimation for large-dimensional matrix factor models
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Statistical analysis of factor models of high dimension
• Statistical foundations of data science
• Statistical Inference for High-Dimensional Matrix-Variate Factor Models

Cited in

(3)

• Tail-robust factor modelling of vector and tensor time series in high dimensions
• Robust matrix factor analysis based on a modified Huber loss function
• MCA: high-dimensional modal component analysis towards the mode

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