18 citations · 28 across the 11 of their papers we have counts for
11 papers
Robust Tensor Factor Analysis
Matteo Barigozzi, Yong He, Lingxiao Li +1
We consider (robust) inference in the context of a factor model for tensor-valued sequences. We study the consistency of the estimated common factors and loadings space when using…
Statistical inference for large-dimensional tensor factor model by iterative projections
Matteo Barigozzi, Yong He, Lingxiao Li +1
Tensor Factor Models (TFM) are appealing dimension reduction tools for high-order large-dimensional tensor time series, and have wide applications in economics, finance and medical…
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…
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…
Inference in heavy-tailed non-stationary multivariate time series
Matteo Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
We study inference on the common stochastic trends in a non-stationary, -variate time series , in the possible presence of heavy tails. We propose a novel methodology whi…
Changepoint detection in random coefficient autoregressive models
Lajos Horvath, Lorenzo Trapani
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressiv…
Sequential monitoring for cointegrating regressions
Lorenzo Trapani, Emily Whitehouse
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to no…
Bayesian estimation of large dimensional time varying VARs using copulas
Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…
Testing for strict stationarity in a random coefficient autoregressive model
Lorenzo Trapani
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression…
Determining the dimension of factor structures in non-stationary large datasets
Matteo Barigozzi, Lorenzo Trapani
We propose a procedure to determine the dimension of the common factor space in a large, possibly non-stationary, dataset. Our procedure is designed to determine whether there are…
Sequential testing for structural stability in approximate factor models
Matteo Barigozzi, Lorenzo Trapani
We develop a monitoring procedure to detect changes in a large approximate factor model. Letting be the number of common factors, we base our statistics on the fact that the $\…