2 papers
stat.ME2025
Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Rong Chen, Simone Giannerini, Greta Goracci +1
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present.…
stat.ME2024
Dynamic Matrix Factor Models for High Dimensional Time Series
Ruofan Yu, Rong Chen, Han Xiao +1
Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series dat…