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stat.ME2023
Denoising and Multilinear Projected-Estimation of High-Dimensional Matrix-Variate Factor Time Series
Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new multi-linear projection method for denoising and estimation of high-dimensional matrix-variate factor time series. It assumes that a matri…
econ.EM2023
Determination of the effective cointegration rank in high-dimensional time-series predictive regressions
Puyi Fang, Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new approach to identifying the effective cointegration rank in high-dimensional unit-root (HDUR) time series from a prediction perspective using reduced-rank…