论文标题

张量因子模型通过迭代投影估算

Tensor Factor Model Estimation by Iterative Projection

论文作者

Han, Yuefeng, Chen, Rong, Yang, Dan, Zhang, Cun-Hui

论文摘要

张量时间序列是一个时间序列,由张力观测组成,已经变得无处不在。它通常表现出很高的维度。减小维度的一种方法是使用因子模型结构,以类似于Tucker Tensor分解的形式,只是将时间维度视为具有时间依赖性结构的动态过程。在本文中,我们介绍了两种方法,通过使用原始张量时间序列的迭代正交投影来估计这种张量因子模型。这些方法扩展了现有的估计程序,并在我们的理论研究中显着提高了估计准确性和收敛率。我们的算法类似于张量分解的高阶正交投影方法,但由于需要在迭代中展开张量和使用自相关的使用而存在显着差异。因此,我们的分析与现有的分析大不相同。得出计算和统计下限,以证明所提出方法的样本量需求和收敛速率的最佳性。进行仿真研究以进一步说明这些估计量的统计特性。

Tensor time series, which is a time series consisting of tensorial observations, has become ubiquitous. It typically exhibits high dimensionality. One approach for dimension reduction is to use a factor model structure, in a form similar to Tucker tensor decomposition, except that the time dimension is treated as a dynamic process with a time dependent structure. In this paper we introduce two approaches to estimate such a tensor factor model by using iterative orthogonal projections of the original tensor time series. These approaches extend the existing estimation procedures and improve the estimation accuracy and convergence rate significantly as proven in our theoretical investigation. Our algorithms are similar to the higher order orthogonal projection method for tensor decomposition, but with significant differences due to the need to unfold tensors in the iterations and the use of autocorrelation. Consequently, our analysis is significantly different from the existing ones. Computational and statistical lower bounds are derived to prove the optimality of the sample size requirement and convergence rate for the proposed methods. Simulation study is conducted to further illustrate the statistical properties of these estimators.

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