CP Factor Model for Dynamic Tensors
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Abstract (arXiv)
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.
Key facts. Cited by 10 papers in the map (data through 7 Oct 2026). First posted on arXiv 29 Oct 2021.
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Citing papers per year: 2021: 1; 2022: 1; 2023: 0; 2024: 3; 2025: 3; 2026: 2.
10 papers.
- 2024Factor Augmented Tensor-on-Tensor Neural Networkscited by 7
- 2021Modelling matrix time series via a tensor CP-decompositioncited by 5
- 2025Covariate-Adjusted Deep Causal Learning for Heterogeneous Panel Data Modelscited by 2
- 2022Multivariate Analysis for Multiple Network Data via Semi-Symmetric Tensor PCAcited by 1
- 2024Tensor Methods in High Dimensional Data Analysis: Opportunities and Challengescited by 1
- 2024TEAFormers: TEnsor-Augmented Transformers for Multi-Dimensional Time Series Forecastingcited by 1
- 2025Supervised Dynamic Dimension Reduction with Deep Neural Networkcited by 1
- 2025ACT-Tensor: Tensor Completion Framework for Financial Dataset Imputationcited by 0
- 2026Are Whitepaper Claims Reflected in Market Structure? A Contamination-Aware Pipeline and a Power-Limited Nullcited by 0
- 2026Factor Augmented High-Dimensional SGDcited by 0
- 2026Factor Augmented High-Dimensional SGD19 May 2026
- 2026Are Whitepaper Claims Reflected in Market Structure? A Contamination-Aware Pipeline and a Power-Limited Null28 Jan 2026
- 2025Supervised Dynamic Dimension Reduction with Deep Neural Network5 Aug 2025
- 2025ACT-Tensor: Tensor Completion Framework for Financial Dataset Imputation3 Aug 2025
- 2025Covariate-Adjusted Deep Causal Learning for Heterogeneous Panel Data Models26 May 2025
- 2024TEAFormers: TEnsor-Augmented Transformers for Multi-Dimensional Time Series Forecasting27 Oct 2024
- 2024Factor Augmented Tensor-on-Tensor Neural Networks30 May 2024
- 2024Tensor Methods in High Dimensional Data Analysis: Opportunities and Challenges28 May 2024
- 2022Multivariate Analysis for Multiple Network Data via Semi-Symmetric Tensor PCA9 Feb 2022
- 2021Modelling matrix time series via a tensor CP-decomposition31 Dec 2021