Threshold Tensor Factor Model in CP Form
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866917102149959680 |
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| author | Bolivar, Stevenson Chen, Rong Han, Yuefeng |
| author_facet | Bolivar, Stevenson Chen, Rong Han, Yuefeng |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_19796 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Threshold Tensor Factor Model in CP Form Bolivar, Stevenson Chen, Rong Han, Yuefeng Methodology Econometrics Applications 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. |
| title | Threshold Tensor Factor Model in CP Form |
| topic | Methodology Econometrics Applications |
| url | https://arxiv.org/abs/2511.19796 |