3 papers
stat.ME2026
Personalized Federated Vector Autoregression with Personalization Diversity
Zhiyun Fan, Xiaoyu Zhang, Guodong Li +1
Personalized federated learning can improve estimation for high-dimensional time series while preserving client-specific dynamics. However, parameter heterogeneity creates a fundam…
stat.ME2025
Scale-Invariant Robust Estimation of High-Dimensional Kronecker-Structured Matrices
Xiaoyu Zhang, Zhiyun Fan, Wenyang Zhang +1
High-dimensional Kronecker-structured estimation faces a conflict between non-convex scaling ambiguities and statistical robustness. The arbitrary factor scaling distorts gradient…
stat.ME2025
A Hybrid Framework Combining Autoregression and Common Factors for Matrix Time Series
Zhiyun Fan, Xiaoyu Zhang, Di Wang
Matrix-valued time series are ubiquitous in modern economics and finance, yet modeling them requires navigating a trade-off between flexibility and parsimony. We propose the Matrix…