5 citations · 20 across the 10 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
stat.ME2021★ 3 cited
Online Change-point Detection for Matrix-valued Time Series with Latent Two-way Factor Structure
Yong He, Xin-bing Kong, Lorenzo Trapani +1
This paper proposes a novel methodology for the online detection of changepoints in the factor structure of large matrix time series. Our approach is based on the well-known fact t…
stat.ME2021★ 5 cited
Matrix Factor Analysis: From Least Squares to Iterative Projection
Yong He, Xinbing Kong, Long Yu +2
In this article, we study large-dimensional matrix factor models and estimate the factor loading matrices and factor score matrix by minimizing square loss function. Interestingly,…
stat.ME2021
One-way or Two-way Factor Model for Matrix Sequences?
Yong He, Xin-bing Kong, Lorenzo Trapani +1
This paper investigates the issue of determining the dimensions of row and column factor spaces in matrix-valued data. Exploiting the eigen-gap in the spectrum of sample second mom…