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stat.ME2025
Factor Modelling for Biclustering Large-dimensional Matrix-valued Time Series
Yong He, Xiaoyang Ma, Xingheng Wang +1
A novel unsupervised learning method is proposed in this paper for biclustering large-dimensional matrix-valued time series based on an entirely new latent two-way factor structure…
stat.ME2024
Penalized Principal Component Analysis for Large-dimension Factor Model with Group Pursuit
Yong He, Dong Liu, Guangming Pan +1
This paper investigates the intrinsic group structures within the framework of large-dimensional approximate factor models, which portrays homogeneous effects of the common factors…
stat.ME2024
Large-dimensional Robust Factor Analysis with Group Structure
Yong He, Xiaoyang Ma, Xingheng Wang +1
In this paper, we focus on exploiting the group structure for large-dimensional factor models, which captures the homogeneous effects of common factors on individuals within the sa…