Author

C. Yau

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Preprint Sep 2026

Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models

This paper proposes a quasi-maximum likelihood estimation (QMLE) procedure for CP factor models, which allows consistent estimation on the whole identifiable subspace and shows that the estimated loading matrices by QMLE achieve a faster convergence rate compared to existing approaches.

Han-Zi Ye, Chun-Yip Yau · 0 citations

Preprint Sep 2026

Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models

Matrix-valued time series, arising in diverse fields such as economics, neuroscience, and recommender systems, have become increasingly prominent in modern data analysis. Among various modeling frameworks, the matrix-variate CP-factor model represents an important and widely applicable class for capturing low-rank stru...

Han-Zi Ye, C. Yau · 0 citations

Open access Aug 2026

Generalized multivariate threshold autoregressive models with linearly partitioned threshold space

We consider a k-dimensional multiple-regime vector threshold autoregressive model, in which the regime-switching mechanism is governed by a bivariate threshold variable. Specifically, the regimes are induced by a partition of the threshold space by an unknown number of threshold lines. Within each regime, the process f...

Gan Yuan, C. Yau · Annals of Statistics · 0 citations