Rank and factor loadings estimation in time series tensor factor model by pre-averaging
通过预平均估计张量时间序列因子模型的秩与因子载荷
The idiosyncratic components of a tensor time series factor model can exhibit serial correlations, (e.g., finance or economic data), ruling out many state-of-the-art methods that assume white/independent idiosyncratic components. While the traditional higher order orthogonal iteration (HOOI) is proved to be convergent to a set of factor loading matrices, the closeness of them to the true underlying factor loading matrices are in general not established, or only under i.i.d.…