8 citations · 8 across the 3 of their papers we have counts for
3 papers
stat.ME2019
Factor Analysis for High-Dimensional Time Series with Change Point
Xialu Liu, Ting Zhang
We consider change-point latent factor models for high-dimensional time series, where a structural break may exist in the underlying factor structure. In particular, we propose con…
stat.ME2019★ 8 cited
Helping Effects Against Curse of Dimensionality in Threshold Factor Models for Matrix Time Series
Xialu Liu, Elynn Chen
As is known, factor analysis is a popular method to reduce dimension for high-dimensional data. For matrix data, the dimension reduction can be more effectively achieved through bo…
stat.ME2018
Threshold factor models for high-dimensional time series
Xialu Liu, Rong Chen
We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value…