Tensor factor model estimation by iterative projection

DOI10.1214/24-AOS2412MaRDI QIDQ7035871zbMATH OpenFDO

Authors Yuefeng Han, Rong Chen, Dan Yang, Cun-Hui Zhang

Publication date 29 January 2025

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-statistics/volume-52/issue-6/Tensor-factor-model-estimation-by-iterative-projection/10.1214/24-AOS2412.full

zbMATH Keywords

factor modeltime seriesTucker decompositionorthogonal projectionhigh-dimensional tensor data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistical aspects of big data and data science (62R07) Estimation in multivariate analysis (62H12)

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