Determining The Number of Factors in Two-Way Factor Model of High-Dimensional Matrix-Variate Time Series: A White-Noise based Method for Serial Correlation Models
高维矩阵时间序列双向因子模型的因子数确定:基于白噪声的方法
In this paper, we study a new two-way factor model for high-dimensional matrix-variate time series. To estimate the number of factors in this two-way factor model, we decompose the series into two parts: one being a non-weakly correlated series and the other being a weakly correlated noise. By comparing the difference between two series, we can construct white-noise based signal statistics to determine the number of factors in row loading matrix (column loading matrix).…