Factor models for matrix-valued high-dimensional time series

DOI10.1016/J.JECONOM.2018.09.013zbMATH Open1452.62684arXiv1610.01889OpenAlexW2964255370MaRDI QIDQ1739643FDOQ1739643

Authors: Xianqiang Yang 

Publication date: 26 April 2019

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

Abstract: In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many companies are reported over time. Although it is natural to turn a matrix observation into a long vector then use standard vector time series models or factor analysis, it is often the case that the columns and rows of a matrix represent different sets of information that are closely interrelated in a very structural way. We propose a novel factor model that maintains and utilizes the matrix structure to achieve greater dimensional reduction as well as finding clearer and more interpretable factor structures. Estimation procedure and its theoretical properties are investigated and demonstrated with simulated and real examples.

Full work available at URL: https://arxiv.org/abs/1610.01889

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Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cited In (50)

• On a matrix-valued autoregressive model
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Simultaneous Cluster Structure Learning and Estimation of Heterogeneous Graphs for Matrix-Variate fMRI Data
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Uses Software

• FinTS

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