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20242026
most citedTail-robust factor modelling of vector and tensor time series in high dimensions

1 citations · 1 across the 4 of their papers we have counts for

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stat.ME2024

Moving sum procedure for multiple change point detection in large factor models

Matteo Barigozzi, Haeran Cho, Lorenzo Trapani

This paper proposes a moving sum methodology for detecting multiple change points in high-dimensional time series under a factor model, where changes are attributed to those in loa…

stat.ME2024★ 1 cited

Tail-robust factor modelling of vector and tensor time series in high dimensions

Matteo Barigozzi, Haeran Cho, Hyeyoung Maeng

We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible pr…