Tail-robust factor modelling of vector and tensor time series in high dimensions
高维向量与张量时间序列的重尾稳健因子建模
Summary We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with nonnegligible probability. We propose combining a two-step procedure for tensor decomposition with data truncation, which is easy to implement and does not require an iterative search for a numerical solution. Departing from the light-tail assumptions often adopted in the time series factor-modelling…