Two-way dynamic factor models for high-dimensional matrix-valued time series

• Published in: Journal of the Royal Statistical Society. Series B, Statistical methodology Vol. 85; no. 5; pp. 1517 - 1537
• Main Authors: Yuan, Chaofeng, Gao, Zhigen, He, Xuming, Huang, Wei, Guo, Jianhua
• Format: Journal Article
• Language: English
• Published: 02.02.2024

Abstract In this article, we introduce a two-way dynamic factor model (2w-DFM) for high-dimensional matrix-valued time series and study some of the basic theoretical properties in terms of identifiability and estimation accuracy. The proposed model aims to capture separable and low-dimensional effec...