Yuefeng Han, Rong Chen, Cun-Hui Zhang
arXiv 13 Nov 2020 · Statistics — Methodology · publishedElectronic Journal of Statistics (2022) · 32 citations (OpenAlex)
arXiv:2011.07131 · PDF · DOI · OpenAlex · Extracted main text
Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. This paper develops two criteria for the determination of the number of factors for tensor factor models where the signal part of an observed tensor time series assumes a Tucker decomposition with the core tensor as the factor tensor. The task is to determine the dimensions of the core tensor. One of the proposed criteria is similar to information based criteria of model selection, and the other is an extension of the approaches based on the ratios of consecutive eigenvalues often used in factor analysis for panel time series. Theoretically results, including sufficient conditions and convergence rates, are established. The results include the vector factor models as special cases, with an additional convergence rates. Simulation studies provide promising finite sample performance for the two criteria.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | barticle[author] Hallin, MarcM. Liska, RomanR (2007) ) | 1.000 | 14 | 5 | 100% |
| 2 | barticle[author] Bai, JushanJ. Ng, SerenaS (2002) ) | 1.000 | 13 | 3 | 100% |
| 3 | barticle[author] Lam, CliffordC. Yao, QiweiQ (2012) ) | 1.000 | 12 | 4 | 100% |
| 4 | barticle[author] Wang, DongD., Liu, XialuX. Chen, RongR (2019) ) self | 0.950 | 7 | 3 | 86% |
| 5 | barticle[author] Alessi, LuciaL., Barigozzi, MatteoM. Capasso, MarcoM (2010) ) | 0.928 | 4 | 3 | 100% |
| 6 | barticle[author] Han, YuefengY., Chen, RongR., Yang, DanD. Zhang, Cu… (2020) ) self | 0.891 | 24 | 7 | 71% |
| 7 | barticle[author] Chen, RongR., Yang, DanD. Zhang, Cun-HuiC.-H (2021) ) self | 0.881 | 19 | 5 | 68% |
| 8 | barticle[author] Amengual, DanteD. Watson, Mark WM. W (2007) ) | 0.843 | 3 | 3 | 100% |
| 9 | barticle[author] Ahn, Seung CS. C. Horenstein, Alex RA. R (2013) ) | 0.737 | 3 | 2 | 100% |
| 10 | barticle[author] Hoff, Peter D.P. D (2011) ) | 0.644 | 2 | 2 | 100% |
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