Papers › Tail-robust factor modelling of vector and tensor time series in high dimensions
Tail-robust factor modelling of vector and tensor time series in high dimensions
Matteo Barigozzi, Haeran Cho, Hyeyoung Maeng
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We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible probability. We propose to combine a two-step procedure for tensor decomposition with data truncation, which is easy to implement and does not require an iterative search for a numerical solution. Departing away from the light-tail assumptions often adopted in the time series factor modelling literature, we derive the consistency and asymptotic normality of the proposed estimators while assuming the existence of the (2 + 2ϵ)-th moment only for some ϵ∈(0, 1). Our rates explicitly depend on $\eps$ characterising the effect of heavy tails, and on the chosen level of truncation. We also propose a consistent criterion for determining the number of factors. Simulation studies and applications to two macroeconomic datasets demonstrate the good performance of the proposed estimators.
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