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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…
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…
Matrix-valued Factor Model with Time-varying Main Effects
Clifford Lam, Zetai Cen
We introduce the matrix-valued time-varying Main Effects Factor Model (MEFM). MEFM is a generalization to the traditional matrix-valued factor model (FM). We give rigorous definiti…
Tensor Time Series Imputation through Tensor Factor Modelling
Zetai Cen, Clifford Lam
We propose tensor time series imputation when the missing pattern in the tensor data can be general, as long as any two data positions along a tensor fibre are both observed for en…