Matrix-valued factor model with time-varying main effects

DOI10.1016/J.JECONOM.2025.106105MaRDI QIDQ6889445zbMATH OpenFDO

Authors Clifford Lam, Zetai Cen

Publication date 4 December 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106105

zbMATH Keywords

large-scale dependent dataMEFM and FM interchangesufficiency of FM over MEFMtime-varying row and column effectsTucker decomposition

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Additive autoregressive models for matrix valued time series
• Autoregressive models for matrix-valued time series
• Autoregressive moving average model for matrix time series
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Eigenvalue ratio test for the number of factors
• Factor Modeling for Clustering High-Dimensional Time Series
• Factor modeling for high-dimensional time series: inference for the number of factors
• Factor Models for High-Dimensional Tensor Time Series
• Factor models for matrix-valued high-dimensional time series
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Large-dimensional factor modeling based on high-frequency observations
• Matrix Factor Analysis: From Least Squares to Iterative Projection
• Matrix-variate time series analysis: a brief review and some new developments
• Modelling matrix time series via a tensor CP-decomposition
• One-way or two-way factor model for matrix sequences?
• Pseudospectral shattering, the sign function, and diagonalization in nearly matrix multiplication time
• Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
• Statistical Inference for High-Dimensional Matrix-Variate Factor Models
• Tensor time series imputation through tensor factor modelling

This page was built for publication: Matrix-valued factor model with time-varying main effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6889445)