Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models
矩阵值 CP 因子模型的识别问题与准极大似然估计AI 解读 ↓
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矩阵值 CP 因子模型的识别问题与准极大似然估计AI 解读 ↓
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Matrix-valued time series, arising in diverse fields such as economics, neuroscience, and recommender systems, have become increasingly prominent in modern data analysis. Among various modeling frameworks, the matrix-variate CP-factor model represents an important and widely applicable class for capturing low-rank structures in matrix time series. In this paper, we provide a unified treatment for the identification problem of CP factor models using both analytic and algebraic tools. In particular, we characterize the parameter space as the union of two subspaces, one identifiable and the other non-identifiable. We show that existing estimation methods only apply to an open proper subset of the identifiable subspace. In contrast, we propose a quasi-maximum likelihood estimation (QMLE) procedure for CP factor models, which allows consistent estimation on the whole identifiable subspace. Moreover, we show that the estimated loading matrices by QMLE achieve a faster convergence rate compared to existing approaches. A simulation study and a real application are conducted to demonstrate the finite-sample performance of the proposed method.
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This paper introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in panels of time series. The model is formulated using elliptical distribution for noise terms, allowing the update of the time-varying parameter to be potentially nonlinear and robust to outliers. We derive stochastic properties of time series generated by the model, such as stationarity and ergodicity, and establish the invertibility of the filter. We prove…
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