2 papers
stat.ME2026
Weight-calibrated estimation for factor models of high-dimensional time series
Xinghao Qiao, Zihan Wang, Qiwei Yao +1
The factor modeling for high-dimensional time series is powerful in discovering latent common components for dimension reduction and information extraction. Most available estimati…
econ.EM2025
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
Degui Li, Yayi Yan, Qiwei Yao
In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into…