4 papers
Detection and Mode-Identification of Multiple Change Points in Tensor Factor Models
Yuqi Zhang, Zetai Cen, Haeran Cho
We study the problems arising from modeling high-dimensional tensor-valued time series under a Tucker decomposition-based factor model with multiple structural change points. First…
Identification and Estimation of Multi-order Tensor Factor Models
Zetai Cen
We propose a novel framework in high-dimensional factor models to simultaneously analyse multiple tensor time series, each with potentially different tensor orders and dimensionali…
On Testing Kronecker Product Structure in Tensor Factor Models
Zetai Cen, Clifford Lam
We propose a test for testing the Kronecker product structure of a factor loading matrix implied by a tensor factor model with Tucker decomposition in the common component. Through…
Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
Zetai Cen, Yudong Chen, Clifford Lam
We analyze a varying-coefficient dynamic spatial autoregressive model with spatial fixed effects. One salient feature of the model is the incorporation of multiple spatial weight m…