High-dimensional low-rank tensor autoregressive time series modeling
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DOI: 10.1016/j.jeconom.2023.105544
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- Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024. "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers 2407.05624, arXiv.org.
- Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
- Yugang He, 2024. "E-commerce and foreign direct investment: pioneering a new era of trade strategies," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
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Keywords
global trade flows; high-dimensional time series; non-convex tensor regression; nuclear norm; tensor decomposition; tensor-valued time series;All these keywords.
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