14 citations · 15 across the 5 of their papers we have counts for
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stat.ME2025
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Matteo Barigozzi, Luca Trapin
This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We s…
stat.ME2022
Modeling panels of extremes
Debbie J. Dupuis, Sebastian Engelke, Luca Trapin
Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme…