Detection and Mode-Identification of Multiple Change Points in Tensor Factor Models
张量因子模型中多个变点的检测与模态识别
We study the problem of modeling high-dimensional tensor-valued time series under a Tucker decomposition-based factor model while permitting the presence of multiple structural change points. Such data call for a method that (i) handles high dimensionality and complex dependence while achieving consistency in multiple change points and further, (ii) addresses a unique challenge posed by the multi-dimensional array setting, of identifying the modes associated with each change…