Factor Models for High-Dimensional Tensor Time Series
From MaRDI portal
Publication:5881065
DOI10.1080/01621459.2021.1912757zbMath1506.62362arXiv1905.07530OpenAlexW3129086483MaRDI QIDQ5881065
No author found.
Publication date: 9 March 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.07530
dimension reductiontrafficunfoldingfactor modelsautocovariance matricesimport-exporteigen-analysiscross-covariance matricesdynamic transport networktensor time series
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Multilinear algebra, tensor calculus (15A69)
Related Items (9)
One-way or two-way factor model for matrix sequences? ⋮ Determining the number of factors in constrained factor models via Bayesian information criterion ⋮ Some recent trends in embeddings of time series and dynamic networks ⋮ Matrix-variate data analysis by two-way factor model with replicated observations ⋮ High-dimensional low-rank tensor autoregressive time series modeling ⋮ Matrix Factor Analysis: From Least Squares to Iterative Projection ⋮ Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging ⋮ Using SVD for Topic Modeling ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Principal component analysis for second-order stationary vector time series
- Tensor Decompositions and Applications
- Autoregressive models for matrix-valued time series
- On tensor completion via nuclear norm minimization
- Handbook of economic forecasting. Volume 1
- Factor modeling for high-dimensional time series: inference for the number of factors
- Statistical analysis of factor models of high dimension
- Coauthorship and citation networks for statisticians
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- On the identification of restricted factor loading matrices: An alternative condition
- Multilinear tensor regression for longitudinal relational data
- Time series: theory and methods.
- Interpolation of spatial data. Some theory for kriging
- The kriged Kalman filter. (With discussion)
- Cross: efficient low-rank tensor completion
- Robust covariance estimation for approximate factor models
- Factor models for matrix-valued high-dimensional time series
- A note on the identification of restricted factor loading matrices
- Estimating structured correlation matrices in smooth Gaussian random field models.
- Nonlinear time series. Nonparametric and parametric methods
- Spatial-temporal nonlinear filtering based on hierarchical statistical models
- Consistency of community detection in networks under degree-corrected stochastic block models
- Discrete temporal models of social networks
- On polynomial time methods for exact low-rank tensor completion
- Estimation of a multiplicative correlation structure in the large dimensional case
- Nonstationary dynamic factor analysis
- Identification theory for high dimensional static and dynamic factor models
- Analysis of individual differences in multidimensional scaling via an \(n\)-way generalization of ``Eckart-Young decomposition
- Separable covariance arrays via the Tucker product, with applications to multivariate relational data
- Dynamic Models for Spatiotemporal Data
- Eigenvalue Ratio Test for the Number of Factors
- Efficient Semiparametric Estimation of the Fama-French Model and Extensions
- Estimation of latent factors for high-dimensional time series
- Modelling multiple time series via common factors
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- Identifying a Simplifying Structure in Time Series
- An Approach to Statistical Spatial-Temporal Modeling of Meteorological Fields
- A Review of Nonparametric Time Series Analysis
- Tensor SVD: Statistical and Computational Limits
- Incoherent Tensor Norms and Their Applications in Higher Order Tensor Completion
- A dimension-reduced approach to space-time Kalman filtering
- Statistical Analysis of Network Data with R
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Evolutionary Network Analysis
- A Survey of Statistical Network Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Tensor Rank and the Ill-Posedness of the Best Low-Rank Approximation Problem
- Most Tensor Problems Are NP-Hard
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Analysis of Financial Time Series
- Projected principal component analysis in factor models
This page was built for publication: Factor Models for High-Dimensional Tensor Time Series
