most citedFactor Strength Estimation in Vector and Matrix Time Series Factor Models

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

collaborators

1 paper

stat.ME2024★ 1 cited

Factor Strength Estimation in Vector and Matrix Time Series Factor Models

Weilin Chen, Clifford Lam

Most factor modelling research in vector or matrix-valued time series assume all factors are pervasive/strong and leave weaker factors and their corresponding series to the noise.…