272 citations · 850 across the 27 of their papers we have counts for
Showing 2022 · stat.MEShow all
2 papers · 2 filters
stat.ME2022★ 5 cited
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…
stat.ME2022★ 27 cited
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…