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stat.ME2024
Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series
Zhaoxing Gao
This paper introduces a novel sparse latent factor modeling framework using sparse asymptotic Principal Component Analysis (APCA) to analyze the co-movements of high-dimensional pa…
stat.ME2018
Banded Spatio-Temporal Autoregressions
Zhaoxing Gao, Yingying Ma, Hansheng Wang +1
We propose a new class of spatio-temporal models with unknown and banded autoregressive coefficient matrices. The setting represents a sparse structure for high-dimensional spatial…