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Factor Models for High-Dimensional Tensor Time Series
Rong Chen, Dan Yang, Cun-hui Zhang · 2019-05-18 · via math.ST updates on arXiv.org

Large tensor (multi-dimensional array) data are now routinely collected in a wide range of applications, due to modern data collection capabilities. Often such observations are taken over time, forming tensor time series. In this paper we present a factor model approach for analyzing high-dimensional dynamic tensor time series and multi-category dynamic transport networks. Two estimation procedures along with their theoretical properties and simulation results are presented. Two applications are used to illustrate the model and its interpretations.