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math.ST2025
TransPCA for Large-dimensional Factor Analysis with Weak Factors: Power Enhancement via Knowledge Transfer
Yong He, Dong Liu, Yunjing Sun +1
Early work established convergence of the principal component estimators of the factors and loadings up to a rotation for large dimensional approximate factor models with weak fact…
math.ST2024
Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model
Yong He, Yujie Hou, Haixia Liu +1
Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components h…