2 citations · 3 across the 3 of their papers we have counts for
3 papers
stat.ME2025★ 1 cited
Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Rong Chen, Simone Giannerini, Greta Goracci +1
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present.…
stat.ME2024★ 2 cited
Dynamic Matrix Factor Models for High Dimensional Time Series
Ruofan Yu, Rong Chen, Han Xiao +1
Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series dat…
stat.ME2024
Time-Varying Matrix Factor Models
Bin Chen, Elynn Y. Chen, Stevenson Bolivar +1
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows amo…