most citedGeneralized Principal Component Analysis for Large-dimensional Matrix Factor Model

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math.ST2024★ 1 cited

Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model

Yong He, Yujie Hou, Haixia Liu +1

Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components h…