Identification and estimation of threshold matrix‐variate factor models

DOI10.1111/SJOS.12576zbMath1496.62155OpenAlexW4205514859MaRDI QIDQ5043804

Elynn Y. Chen, Xialu Liu

Publication date: 6 October 2022

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12576

zbMATH Keywords

curse of dimensionalityfactor modelshigh-dimensional time seriesmatrix-variate time seriesthresholding effect

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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