题目：CP Factor Model for Dynamic Tensors

主讲人：罗格斯大学 陈嵘教授

主持人：统计学院 常晋源教授

时间：2022年4月29日（周五）上午9:00-10:00

地点：腾讯会议，464 682 153

报告摘要：

Observations in various applications are frequently represented as a time series of multidimensional arrays, called tensor time series, preserving the inherent multidimensional structure. In this paper, we present a factor model approach, in a form similar to tensor CP decomposition, to the analysis of high-dimensional dynamic tensor time series. As the loading vectors are uniquely defined but not necessarily orthogonal, it is significantly different from the existing tensor factor models based on Tucker-type tensor decomposition. The model structure allows for a set of uncorrelated one-dimensional latent dynamic factor processes, making it much more convenient to study the underlying dynamics of the time series. A new high order projection estimator is proposed for such a factor model, utilizing the special structure and the idea of the higher order orthogonal iteration procedures commonly used in Tucker-type tensor factor model and general tensor CP decomposition procedures. Theoretical investigation provides statistical error bounds for the proposed methods, which shows the significant advantage of utilizing the special model structure. Simulation study is conducted to further demonstrate the finite sample properties of the estimators. Real data application is used to illustrate the model and its interpretations.

主讲人简介：

Dr. Chen is Distinguished Professor of Statistics, and Chair of Department of Statistics at Rutgers University. His teaching and research interests include analysis of complex time series and dynamic systems, Monte Carlo methods and statistical applications in bioinformatics, business and economics, and engineering. He is an elected Fellow of the American Statistical Association and the Institute of Mathematical Statistics. Dr. Chen served as a co-editor of Journal of Business and Economic Statistics and is currently serving as co-editor of Statistica Sinica. He is former Treasurer of the Institute of Mathematical Statistics and former program director in the Division of Mathematical Sciences of National Science Foundation. Dr. Chen received both his Ph.D. and M.S. in Statistics from Carnegie Mellon University and his B.S. in mathematics from Peking University in China.