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时变矩阵因子模型AI 解读

Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural shifts and explore the matrix structure's informational context, we propose a time-varying matrix factor model. This model accommodates changing factor loadings over time, revealing the underlying dynamic structure through nonparametric…

高维时间序列的社区网络自回归模型AI 解读

Modeling responses on the nodes of a large-scale network is an important task that arises commonly in practice. This paper proposes a community network vector autoregressive (CNAR) model, which utilizes the network structure to characterize the dependence and intra-community homogeneity of the high dimensional time series. The CNAR model greatly increases the flexibility and generality of the network vector autoregressive (Zhu et al, 2017, NAR) model by allowing…