Robust estimation of large factor models for tensor-valued time series
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Publication:66094
DOI10.48550/ARXIV.2303.18163arXiv2303.18163MaRDI QIDQ66094FDOQ66094
Authors: Matteo Barigozzi, Yong He, Lingxiao Li, Lorenzo Trapani 
Publication date: 31 March 2023
Abstract: In this paper, we consider inference in the context of a factor model for tensor-valued time series. We study the consistency of the estimated common factors and loadings space when using estimators based on minimising quadratic loss functions. Building on the observation that such loss functions are adequate only if sufficiently many moments exist, we extend our results to the case of heavy-tailed distributions by considering estimators based on minimising the Huber loss function, which uses an -norm weight on outliers. We show that such class of estimators is robust to the presence of heavy tails, even when only the second moment of the data exists.
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