Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
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Publication:87476
DOI10.48550/arXiv.2208.04012arXiv2208.04012MaRDI QIDQ87476
Clifford Lam, Weilin Chen, Clifford Lam, Wei-Lin Chen
Publication date: 8 August 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2208.04012
iterative projection algorithmbootstrap tensor fibrescore rank tensorstrongest factors projectiontensor fibres pre-averaging
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)
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Cites Work
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