Two-way dynamic factor models for high-dimensional matrix-valued time series

DOI10.1093/JRSSSB/QKAD077MaRDI QIDQ6627074zbMATH OpenFDO

Authors Chaofeng Yuan, Zhigen Gao, Xuming He, Wei Huang, Jianhua Guo

Publication date 29 October 2024

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/JRSSSB/QKAD077

zbMATH Keywords

autoregressiondynamic factor modelhigh-dimensional datamatrix-valued time series

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(6)

• Estimation and inference for large-dimensional generalized matrix factor models
• Estimation of tensor factor model by iterative least squares
• Robust factorization for high-dimensional matrix-variate observations
• Quasi Maximum Likelihood Estimation for Large-Dimensional Matrix Factor Models
• Modeling and Learning on High-Dimensional Matrix-Variate Sequences
• Robust matrix factor analysis based on a modified Huber loss function

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