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Preprint Sep 2026

Factor Model Estimation for High-Dimensional Time Series with Heteroskedastic Noise

Factor modeling provides a framework for extracting common components from high-dimensional time series. We develop an estimator of the factor loading space that combines contemporaneous covariance with lagged autocovariance information. Under cross-sectionally heteroskedastic white noise, the contemporaneous covarianc...

Da-Cang Zhao, Jing Chen · 0 citations
#machine learning Preprint Sep 2026

Adaptive Forgetting for Nonstationary Optimization: Towards Robust EEG Decoding

Electroencephalography (EEG) provides non-invasive monitoring of brain activity and is widely used in emotion recognition, motor imagery and sleep staging. Although within-subject decoding has achieved considerable progress, cross-subject generalization remains a central challenge in practical applications. EEG decoder...

Hongyu Zhu, Lin Chen, Jing Chen et al. · 0 citations

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