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math.ST2025
Main Effect Factor Models in High-Dimensional Matrix Time Series: Identification and Sparsity
Zetai Cen, Kaixin Liu, Clifford Lam
We propose a general identification framework for main effect factor models for matrix-valued time series. The classical sum-to-zero restriction on the row and column main effects…
math.ST2025
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…