New consistent algorithms detect multiple change points and identify affected modes in Tucker-based tensor factor models for high-dimensional time series.
Immediately, we also have eΛ-keΛ⊺ -k/p-k = Λ-kΛ⊺ -k/p-k +o P (1)
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Detection and Mode-Identification of Multiple Change Points in Tensor Factor Models
New consistent algorithms detect multiple change points and identify affected modes in Tucker-based tensor factor models for high-dimensional time series.