Projected estimation for large-dimensional matrix factor models

Large-Dimensional Factor Analysis Without Moment Constraints

(2020) Yong He et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Constrained Factor Models for High-Dimensional Matrix-Variate Time Series

(2019) Elynn Y. Chen et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Factor and idiosyncratic empirical processes

(2018) Xinbing Kong et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Factor models for matrix-valued high-dimensional time series

(2018) Dong Wang et al.   JOURNAL OF ECONOMETRICS

Independent component analysis for tensor-valued data

(2017) Joni Virta et al.   JOURNAL OF MULTIVARIATE ANALYSIS

A useful variant of the Davis–Kahan theorem for statisticians

(2015) Y. Yu et al.   BIOMETRIKA

Risks of large portfolios

(2015) Jianqing Fan et al.   JOURNAL OF ECONOMETRICS

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Factor modeling for high-dimensional time series: Inference for the number of factors

(2012) Clifford Lam et al.   ANNALS OF STATISTICS

Estimation of latent factors for high-dimensional time series

(2011) C. Lam et al.   BIOMETRIKA