Stevenson Bolivar, Rong Chen, Yuefeng Han
arXiv 24 Nov 2025 · Statistics — Methodology
arXiv:2511.19796 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a new Threshold Tensor Factor Model in Canonical Polyadic (CP) form for tensor time series. By integrating a thresholding autoregressive structure for the latent factor process into the tensor factor model in CP form, the model captures regime-switching dynamics in the latent factor processes while retaining the parsimony and interpretability of low-rank tensor representations. We develop estimation procedures for the model and establish the theoretical properties of the resulting estimators. Numerical experiments and a real-data application illustrate the practical performance and usefulness of the proposed framework.
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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 | Tong, H Nonlinear Time Series Analysis: A Dynamical System Approach | 1.000 | 7 | 3 | 100% |
| 2 | Han, Yuefeng and Yang, Dan and Zhang, Cun-Hui and Chen, Rong (2024) CP factor model for dynamic tensors self | 0.969 | 11 | 5 | 91% |
| 3 | Chen, Bin and Han, Yuefeng and Yu, Qiyang (2024) Estimation and Inference for CP Tensor Factor Models self | 0.928 | 5 | 3 | 80% |
| 4 | Lam, Clifford and Yao, Qiwei (2012) Factor modeling for high-dimensional time series: inference for the number of factors | 0.851 | 13 | 3 | 62% |
| 5 | Tsay, Ruey S and Chen, Rong (2018) Nonlinear Time Series Analysis self | 0.843 | 3 | 3 | 100% |
| 6 | Tsay, Ruey S (1989) Testing and modeling threshold autoregressive processes | 0.811 | 4 | 2 | 100% |
| 7 | Chan, K.S. and Tong, H (1986) On estimating thresholds in autoregressive models | 0.737 | 3 | 2 | 100% |
| 8 | Chen, Elynn Y and Tsay, Ruey S and Chen, Rong (2020) Constrained Factor Models for High-Dimensional Matrix-Variate Time Series self | 0.737 | 3 | 2 | 100% |
| 9 | Chan, Kung-Sik (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model | 0.737 | 3 | 2 | 100% |
| 10 | Zhang, Xinyu and Li, Dong and Tong, Howell (2024) On the least squares estimation of multiple-threshold-variable autoregressive models | 0.644 | 5 | 2 | 40% |
Showing the top 10 of 69 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Diffusion Index Forecasting with Tensor Data | 0.405 | 1 | 1 |
| 2 | Modewise Additive Factor Model for Matrix Time Series | 0.405 | 1 | 1 |