Robust matrix factor analysis method with adaptive parameter adjustment using Cauchy weighting

DOI10.1007/S00180-024-01548-4MaRDI QIDQ7008810zbMATH OpenFDO

Authors Junchen Li

Publication date 21 March 2025

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00180-024-01548-4

zbMATH Keywords

Cauchy lossheavy-tailed datamatrix factor modelparameter optimizationpopulation mobility

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

• Factor modeling for high-dimensional time series: inference for the number of factors
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• scientific article; zbMATH DE number 2171896 (Why is no real title available?)
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• One-way or two-way factor model for matrix sequences?
• Principal components estimation and identification of static factors
• Projected estimation for large-dimensional matrix factor models
• Regularized Matrix Regression
• Sparse Matrix Graphical Models
• Statistical Inference for High-Dimensional Matrix-Variate Factor Models
• Structured Lasso for regression with matrix covariates
• Wavelet analysis of matrix–valued time–series

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