Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
预平均法估计时间序列张量因子模型的秩与因子载荷
Tensor time series data appears naturally in a lot of fields, including finance and economics. As a major dimension reduction tool, similar to its factor model counterpart, the idiosyncratic components of a tensor time series factor model can exhibit serial correlations, especially in financial and economic applications. This rules out a lot of state-of-the-art methods that assume white idiosyncratic components, or even independent/Gaussian data. While the traditional higher…