Factor Models for High-Dimensional Tensor Time Series

Rong Chen, Dan Yang and Cun-Hui Zhang

Journal of the American Statistical Association, 2022, vol. 117, issue 537, 94-116

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.

Date: 2022
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DOI: 10.1080/01621459.2021.1912757

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