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03/31/2023
Robust estimation of large factor models for tensor-valued time series
In this paper, we consider inference in the context of a factor model fo...
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06/20/2022
Statistical Inference for Large-dimensional Tensor Factor Model by Weighted/Unweighted Projection
Tensor Factor Models (TFM) are appealing dimension reduction tools for h...
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12/27/2021
Online Change-point Detection for Matrix-valued Time Series with Latent Two-way Factor Structure
This paper proposes a novel methodology for the online detection of chan...
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10/03/2021
Vector or Matrix Factor Model? A Strong Rule Helps!
This paper investigates the issue of determining the dimensions of row a...
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04/27/2021
Changepoint detection in random coefficient autoregressive models
We propose a family of CUSUM-based statistics to detect the presence of ...
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03/26/2020
Sequential monitoring for cointegrating regressions
We develop monitoring procedures for cointegrating regressions, testing ...
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01/04/2019
Testing for strict stationarity in a random coefficient autoregressive model
We propose a procedure to decide between the null hypothesis of (strict)...
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06/10/2018