Matrix Factor Analysis: From Least Squares to Iterative Projection

Modelling matrix time series via a tensor CP-decomposition

(2023) Jinyuan Chang et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

One-way or two-way factor model for matrix sequences?

(2023) Yong He et al.   Journal of Econometrics

Identification and estimation of threshold matrix‐variate factor models

(2022) Xialu Liu et al.   SCANDINAVIAN JOURNAL OF STATISTICS

Projected estimation for large-dimensional matrix factor models

(2021) Long Yu et al.   JOURNAL OF ECONOMETRICS

Factor Models for High-Dimensional Tensor Time Series

(2021) Rong Chen et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Statistical Inference for High-Dimensional Matrix-Variate Factor Models

(2021) Elynn Y. Chen et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Community detection on mixture multilayer networks via regularized tensor decomposition

(2021) Bing-Yi Jing et al.   ANNALS OF STATISTICS

High-frequency factor models and regressions

(2020) Yacine Aït-Sahalia et al.   JOURNAL OF ECONOMETRICS

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

Robust factor number specification for large-dimensional elliptical factor model

(2019) Long Yu et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Factor models for matrix-valued high-dimensional time series

(2018) Dong Wang et al.   JOURNAL OF ECONOMETRICS

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

(2017) Yacine Aït-Sahalia et al.   JOURNAL OF ECONOMETRICS

A randomised sequential procedure to determine the number of factors

(2017) Lorenzo Trapani   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Separable factor analysis with applications to mortality data

(2014) Bailey K. Fosdick et al.   Annals of Applied Statistics

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Principal components estimation and identification of static factors

(2013) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

Large covariance estimation by thresholding principal orthogonal complements

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

Testing Hypotheses About the Number of Factors in Large Factor Models

(2009)   ECONOMETRICA

Towards a universal self-normalized moderate deviation

(2008) Bing-Yi Jing et al.   TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY