A Riemannian Factor Model for Manifold-Valued Time Series
We propose a Riemannian factor model (RFM), a novel framework for analyzing potentially high-dimensional time series data observed on Riemannian manifolds. Such time series are encountered in various applications, including economics, finance, medical imaging, and genomics and microbiome research. The proposed model is geometry-aware and accounts for the inherent nonlinearity in the data. In a high-dimensional asymptotic regime, where the manifold dimension is allowed to diverge with the sample size $n$, we establish convergence rates for the estimated loading space. In particular, under short-memory and strong factor conditions, we obtain a dimension-free $n^{-1/2}$ rate, which matches the convergence rate of the high-dimensional linear factor model. Finite-sample performance of the proposed RFM is demonstrated with simulated time series on the Bures--Wasserstein manifolds and products of spheres, as well as an application to monthly realized covariances of selected U.S. stock returns---modeled as time series in the Bures--Wasserstein manifold, where the RFM provides demonstrably interpretable factors and yields competitive predictive performance.