English

Threshold Tensor Factor Model in CP Form

Methodology 2025-11-26 v1 Econometrics Applications

Abstract

This paper proposes a new Threshold Tensor Factor Model in Canonical Polyadic (CP) form for tensor time series. By integrating a thresholding autoregressive structure for the latent factor process into the tensor factor model in CP form, the model captures regime-switching dynamics in the latent factor processes while retaining the parsimony and interpretability of low-rank tensor representations. We develop estimation procedures for the model and establish the theoretical properties of the resulting estimators. Numerical experiments and a real-data application illustrate the practical performance and usefulness of the proposed framework.

Cite

@article{arxiv.2511.19796,
  title  = {Threshold Tensor Factor Model in CP Form},
  author = {Stevenson Bolivar and Rong Chen and Yuefeng Han},
  journal= {arXiv preprint arXiv:2511.19796},
  year   = {2025}
}
R2 v1 2026-07-01T07:53:21.157Z