124 citations · 194 across the 14 of their papers we have counts for
14 papers
Cointegrated Matrix Autoregression Models
Zebang Li, Han Xiao
We propose a novel cointegrated autoregressive model for matrix-valued time series, with bi-linear cointegrating vectors corresponding to the rows and columns of the matrix data. C…
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…
Multi-linear Tensor Autoregressive Models
Zebang Li, Han Xiao
Contemporary time series analysis has seen more and more tensor type data, from many fields. For example, stocks can be grouped according to Size, Book-to-Market ratio, and Operati…
Equivariant Variance Estimation for Multiple Change-point Model
Ning Hao, Yue Selena Niu, Han Xiao
The variance of noise plays an important role in many change-point detection procedures and the associated inferences. Most commonly used variance estimators require strong assumpt…
Hybrid Kronecker Product Decomposition and Approximation
Chencheng Cai, Rong Chen, Han Xiao
Discovering the underlying low dimensional structure of high dimensional data has attracted a significant amount of researches recently and has shown to have a wide range of applic…
KoPA: Automated Kronecker Product Approximation
Chencheng Cai, Rong Chen, Han Xiao
We consider the problem of matrix approximation and denoising induced by the Kronecker product decomposition. Specifically, we propose to approximate a given matrix by the sum of a…