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stat.AP2025
Predicting Energy Demand with Tensor Factor Models
Mattia Banin, Matteo Barigozzi, Luca Trapin
Hourly consumption from multiple providers displays pronounced intra-day, intra-week, and annual seasonalities, as well as strong cross-sectional correlations. We introduce a novel…
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…