Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang

DOI10.1080/01621459.2021.2018328zbMath1506.62368OpenAlexW4210801593MaRDI QIDQ5881066

Haihan Tang, Oliver B. Linton

Publication date: 9 March 2023

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

Full work available at URL: https://doi.org/10.1080/01621459.2021.2018328

zbMATH Keywords

dimension reductiontrafficunfoldingfactor modelsautocovariance 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)

Cites Work

• ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM

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