13 citations · 16 across the 4 of their papers we have counts for
Showing econ.EMShow all
2 papers · 1 filter
econ.EM2023
Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
Zhaoxing Gao, Ruey S. Tsay
This paper proposes a novel dynamic forecasting method using a new supervised Principal Component Analysis (PCA) when a large number of predictors are available. The new supervised…
econ.EM2020
A Two-Way Transformed Factor Model for Matrix-Variate Time Series
Zhaoxing Gao, Ruey S. Tsay
We propose a new framework for modeling high-dimensional matrix-variate time series by a two-way transformation, where the transformed data consist of a matrix-variate factor proce…