Bayesian Dynamic Matrix Factor Models

The growth in data volume and the expansion in data dimensionality are challenging the analysis of high-dimensional matrix time series. Factor models for matrix-valued high-dimensional time series are a powerful tool for reducing the dimensionality of the variables with low-rank structures. However,...

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Bibliographic Details

Published in:	Journal of business & economic statistics Vol. 43; no. 4; pp. 1170 - 1182
Main Authors:	Qin, Lei, Wang, Yinzhi, Zhu, Yingqiu, Shia, Ben-Chang
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 02.10.2025 Taylor & Francis Ltd
Subjects:	Bayesian algorithm Dynamic factor model Matrix time series Time series
ISSN:	0735-0015, 1537-2707
Online Access:	Get full text
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