64 citations · 149 across the 12 of their papers we have counts for
Showing 2018 · stat.MEShow all
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stat.ME2018★ 3 cited
Autoregressive Models for Matrix-Valued Time Series
Rong Chen, Han Xiao, Dan Yang
In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in di…
stat.ME2018★ 7 cited
Threshold factor models for high-dimensional time series
Xialu Liu, Rong Chen
We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value…