Identification and estimation for matrix time series CP-factor models

Jinyuan Chang, Yue Du, Guanglin Huang and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We propose a new method for identifying and estimating the CP-factor models for matrix time series. Unlike the generalized eigenanalysis-based method (J. R. Stat. Soc. Ser. B. Stat. Methodol. 85 (2023) 127–148) for which the convergence rates of the associated estimators may suffer from small eigengaps as the asymptotic theory is based on some matrix perturbation analysis, the proposed new method enjoys faster convergence rates which are free from any eigengaps. It achieves this by turning the problem into a joint diagonalization of several matrices whose elements are determined by a basis of a linear system, and by choosing the basis carefully to avoid near colinearity (see Proposition 5 and Section 4.3). Furthermore, unlike the generalized eigenanalysis-based method which requires the two factor loading matrices to be full-ranked, the proposed new method can handle rank-deficient factor loading matrices. Illustration with both simulated and real matrix time-series data shows the advantages of the proposed new method.

Keywords: CP-decomposition; dimension-reduction; matrix time series; non-orthogonal joint diagonalization; and phrases. CP-decomposition; nonorthogonal joint diagonalization; dimension reduction (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2026-06-30
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Published in Annals of Statistics, 30, June, 2026, 54(3), pp. 1372-1397. ISSN: 0090-5364

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