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20242026
most citedPrincipal Component Analysis for High-Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification

3 citations · 3 across the 1 of their papers we have counts for

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stat.ME2025

FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series

Matteo Barigozzi, Haeran Cho, Dom Owens

We propose FNETS, a methodology for network estimation and forecasting of high-dimensional time series exhibiting strong serial- and cross-sectional correlations. We operate under…

stat.ME2025

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…