3 papers
stat.ME2026
Structural Change Detection in High-Dimensional Transformed Factor Models via Canonical Correlation Analysis
Lei Jia, Shouri Hu, Zhaoxing Gao
This paper develops a canonical-correlation-based method for detecting structural changes in high-dimensional transformed factor models. The proposed approach exploits the low-rank…
stat.ML2026
Split-and-Conquer: Distributed Factor Modeling for High-Dimensional Matrix-Variate Time Series
Hangjin Jiang, Yuzhou Li, Zhaoxing Gao
In this paper, we propose a distributed framework for reducing the dimensionality of high-dimensional, large-scale, heterogeneous matrix-variate time series data using a factor mod…
stat.ME2024
Regularized Estimation of High-Dimensional Matrix-Variate Autoregressive Models
Hangjin Jiang, Baining Shen, Yuzhou Li +1
Matrix-variate time series data are increasingly popular in economics, statistics, and environmental studies, among other fields. This paper develops regularized estimation methods…