Projected estimation for large-dimensional matrix factor models

DOI10.1016/J.JECONOM.2021.04.001OpenAlexW3159581759MaRDI QIDQ159941FDOQ159941

Authors: Long Yu, Yong He, Xin-Bing Kong, Xinsheng Zhang, Long Yu, Yong He, Xin-Bing Kong, Xinsheng Zhang 

Publication date: July 2022

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

Full work available at URL: https://arxiv.org/abs/2003.10285

zbMATH Keywords

column covariance matrixmatrix factor modelrow covariance matrixvector factor model

Mathematics Subject Classification ID

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

Cites Work

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• Title not available (Why is that?)
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• Independent component analysis for tensor-valued data
• Risks of large portfolios
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Factor and Idiosyncratic Empirical Processes

Cited In (15)

• Simultaneous Cluster Structure Learning and Estimation of Heterogeneous Graphs for Matrix-Variate fMRI Data
• Adaptive singular value shrinkage estimate for low rank tensor denoising
• Some recent trends in embeddings of time series and dynamic networks
• Matrix-variate data analysis by two-way factor model with replicated observations
• Robust estimation of the number of factors for the pair-elliptical factor models
• Expectile trace regression via low-rank and group sparsity regularization
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Low-rank latent matrix-factor prediction modeling for generalized high-dimensional matrix-variate regression
• Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
• Matrix Factor Analysis: From Least Squares to Iterative Projection
• The spatial-temporal lag model of matrix-valued time series and its application
• One-way or two-way factor model for matrix sequences?
• Robust projected principal component analysis for large-dimensional semiparametric factor modeling
• Adaptively robust high-dimensional matrix factor analysis under Huber loss function
• HDMFA

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