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

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stat.ME2025

Tail-robust estimation of factor-adjusted vector autoregressive models for high-dimensional time series

Dylan Dijk, Haeran Cho

We study the problem of modelling high-dimensional, heavy-tailed time series data via a factor-adjusted vector autoregressive (VAR) model, which simultaneously accounts for pervasi…