Tensor time series imputation through tensor factor modelling

DOI10.1016/J.JECONOM.2025.105974MaRDI QIDQ6969780zbMATH OpenFDO

Authors Zetai Cen, Clifford Lam

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105974

zbMATH Keywords

\(\alpha\)-mixing time series variablescore tensorgeneralized cross-covariance matrixmissingness tensortensor unfolding

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Additive autoregressive models for matrix valued time series
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Autoregressive models for matrix-valued time series
• Eigenvalue ratio test for the number of factors
• Factor modeling for high-dimensional time series: inference for the number of factors
• Factor Models for High-Dimensional Tensor Time Series
• Factor models for matrix-valued high-dimensional time series
• Factor models with local factors -- determining the number of relevant factors
• Factor-based imputation of missing values and covariances in panel data of large dimensions
• Inferential Theory for Factor Models of Large Dimensions
• Large dimensional latent factor modeling with missing observations and applications to causal inference
• Large-dimensional factor modeling based on high-frequency observations
• Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
• Matrix-variate time series analysis: a brief review and some new developments
• Missing value imputation in multivariate time series with end-to-end generative adversarial networks
• Modelling matrix time series via a tensor CP-decomposition
• Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
• Rank determination in tensor factor model
• Statistical Inference for High-Dimensional Matrix-Variate Factor Models
• Tensor Decompositions and Applications

Cited in

(3)

• On testing Kronecker product structure in tensor factor models
• Estimation and inference for CP tensor factor models
• Matrix-valued factor model with time-varying main effects

This page was built for publication: Tensor time series imputation through tensor factor modelling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6969780)