5 citations · 5 across the 2 of their papers we have counts for
2 papers
stat.ME2025
A Markov-switching dynamic matrix factor model for the high-dimensional matrix time series
Chaofeng Yuan, Sainan Xu, Xingbing Kong +1
In this study, we propose a novel model called the Markov-switching dynamic matrix factor (Ms-DMF) model, which serves the dual purpose of structural interpretation and prediction…
stat.ME2021★ 5 cited
A two-way factor model for high-dimensional matrix data
Gao Zhigen, Yuan Chaofeng, Jing Bingyi +2
In this article, we introduce a two-way factor model for a high-dimensional data matrix and study the properties of the maximum likelihood estimation (MLE). The proposed model assu…