Identification and estimation for matrix time-series CP-factor models
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Cites work
- A fast algorithm for joint diagonalization with non-orthogonal transformations and its application to blind source separation
- A Link between the Canonical Decomposition in Multilinear Algebra and Simultaneous Matrix Diagonalization
- Autoregressive models for matrix-valued time series
- Blind separation of instantaneous mixtures of nonstationary sources
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- CP factor model for dynamic tensors
- 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
- Modelling matrix time series via a tensor CP-decomposition
- Principal component analysis for second-order stationary vector time series
- Quadratic optimization for simultaneous matrix diagonalization
- Rank determination in tensor factor model
- Sensitivity Analysis for the Problem of Matrix Joint Diagonalization
- Tensor Decompositions and Applications
- Tensor factor model estimation by iterative projection
- Tensor Principal Component Analysis in High Dimensional CP Models
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