24 citations · 76 across the 7 of their papers we have counts for
7 papers
CP Factor Model for Dynamic Tensors
Yuefeng Han, Dan Yang, Cun-Hui Zhang +1
Observations in various applications are frequently represented as a time series of multidimensional arrays, called tensor time series, preserving the inherent multidimensional str…
Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data
Xin Chen, Dan Yang, Yan Xu +3
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between…
Tensor Factor Model Estimation by Iterative Projection
Yuefeng Han, Rong Chen, Dan Yang +1
Tensor time series, which is a time series consisting of tensorial observations, has become ubiquitous. It typically exhibits high dimensionality. One approach for dimension reduct…
Factor Models for High-Dimensional Tensor Time Series
Rong Chen, Dan Yang, Cun-hui Zhang
Large tensor (multi-dimensional array) data are now routinely collected in a wide range of applications, due to modern data collection capabilities. Often such observations are tak…
Autoregressive Models for Matrix-Valued Time Series
Rong Chen, Han Xiao, Dan Yang
In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in di…
Rate Optimal Denoising of Simultaneously Sparse and Low Rank Matrices
Dan Yang, Zongming Ma, Andreas Buja
We study minimax rates for denoising simultaneously sparse and low rank matrices in high dimensions. We show that an iterative thresholding algorithm achieves (near) optimal rates…