Modewise Additive Factor Model for Matrix Time Series
Analysis
Key Takeaways
- •Introduces MAFM, a novel additive factor model for matrix-valued time series.
- •Offers greater flexibility than multiplicative factor models.
- •Develops a computationally efficient two-stage estimation procedure (MINE and COMPAS).
- •Provides a data-driven inference framework with convergence rates and asymptotic distributions.
- •Includes a technical contribution: matrix Bernstein inequalities for quadratic forms of dependent matrix time series.
“The key methodological innovation is that orthogonal complement projections completely eliminate cross-modal interference when estimating each loading space.”