92 citations · 185 across the 21 of their papers we have counts for
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econ.EM2020★ 6 cited
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…
stat.ME2020★ 8 cited
Modeling High-Dimensional Unit-Root Time Series
Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new procedure to build factor models for high-dimensional unit-root time series by postulating that a -dimensional unit-root process is a nonsingular linea…