Factor Models for High-Dimensional Tensor Time Series

DOI10.1080/01621459.2021.1912757zbMATH Open1506.62362arXiv1905.07530OpenAlexW3129086483MaRDI QIDQ5881065FDOQ5881065

Authors:

Publication date: 9 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Large tensor (multi-dimensional array) data are now routinely collected in a wide range of applications, due to modern data collection capabilities. Often such observations are taken over time, forming tensor time series. In this paper we present a factor model approach for analyzing high-dimensional dynamic tensor time series and multi-category dynamic transport networks. Two estimation procedures along with their theoretical properties and simulation results are presented. Two applications are used to illustrate the model and its interpretations.

Full work available at URL: https://arxiv.org/abs/1905.07530

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zbMATH Keywords

factor modelsdimension reductiontrafficunfoldingautocovariance matricesimport-exporteigen-analysiscross-covariance matricesdynamic transport networktensor time series

Mathematics Subject Classification ID

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)

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Cited In (24)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Some recent trends in embeddings of time series and dynamic networks
• Matrix-variate data analysis by two-way factor model with replicated observations
• Guaranteed Functional Tensor Singular Value Decomposition
• Simultaneous Decorrelation of Matrix Time Series
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• High-dimensional low-rank tensor autoregressive time series modeling
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
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• Dynamic tensor clustering
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• Low-rank latent matrix-factor prediction modeling for generalized high-dimensional matrix-variate regression
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• Using SVD for Topic Modeling
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Bayesian variable selection for matrix autoregressive models

Uses Software

• astsa
• FinTS

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