4 papers · 1 filter
Threshold Tensor Factor Model in CP Form
Stevenson Bolivar, Rong Chen, Yuefeng Han
This paper proposes a new Threshold Tensor Factor Model in Canonical Polyadic (CP) form for tensor time series. By integrating a thresholding autoregressive structure for the laten…
Tensor Factor Model Estimation by Iterative Projection
Yuefeng Han, Rong Chen, Dan Yang +1
Tensor time series, which is a time series consisting of tensorial observations, has become ubiquitous. It typically exhibits high dimensionality. One approach for dimension reduct…
Dynamic Matrix Factor Models for High Dimensional Time Series
Ruofan Yu, Rong Chen, Han Xiao +1
Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series dat…
CP Factor Model for Dynamic Tensors
Yuefeng Han, Dan Yang, Cun-Hui Zhang +1
Observations in various applications are frequently represented as a time series of multidimensional arrays, called tensor time series, preserving the inherent multidimensional str…