2 papers
stat.ME2025
Tail-robust factor modelling of vector and tensor time series in high dimensions
Matteo Barigozzi, Haeran Cho, Hyeyoung Maeng
We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible pr…
stat.ME2025
Moving sum procedure for multiple change point detection in large factor models
Matteo Barigozzi, Haeran Cho, Lorenzo Trapani
This paper proposes a moving sum methodology for detecting multiple change points in high-dimensional time series under a factor model, where changes are attributed to those in loa…