Factor Models for High-Dimensional Tensor Time Series

作者：Rong Chen, Dan Yang, Cun-Hui Zhang · 发表于：Journal of the American Statistical Association · 年份：2019 · DOI：10.1080/01621459.2021.1912757 · 被引用次数：138 · 研究领域：Mathematics、Computer Science

Abstract Large tensor (multi-dimensional array) data routinely appear nowadays in a wide range of applications, due to modern data collection capabilities. Often such observations are taken over time, forming tensor time series. In this article we present a factor model approach to the analysis of high-dimensional dynamic tensor time series and multi-category dynamic transport networks. This article presents two estimation procedures along with their theoretical properties and simulation results. We present two applications to illustrate the model and its interpretations.