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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…
math.ST2024★ 1 cited
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…