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Threshold Tensor Factor Model in CP Form

Author

Listed:
  • Stevenson Bolivar
  • Rong Chen
  • Yuefeng Han

Abstract

This paper proposes a new Threshold Tensor Factor Model in Canonical Polyadic (CP) form for tensor time series. By integrating a thresholding autoregressive structure for the latent factor process into the tensor factor model in CP form, the model captures regime-switching dynamics in the latent factor processes while retaining the parsimony and interpretability of low-rank tensor representations. We develop estimation procedures for the model and establish the theoretical properties of the resulting estimators. Numerical experiments and a real-data application illustrate the practical performance and usefulness of the proposed framework.

Suggested Citation

  • Stevenson Bolivar & Rong Chen & Yuefeng Han, 2025. "Threshold Tensor Factor Model in CP Form," Papers 2511.19796, arXiv.org.
    • Handle: RePEc:arx:papers:2511.19796
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    References listed on IDEAS

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