Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models
Abstract
Matrix-valued time series, arising in diverse fields such as economics, neuroscience, and recommender systems, have become increasingly prominent in modern data analysis. Among various modeling frameworks, the matrix-variate CP-factor model represents an important and widely applicable class for capturing low-rank structures in matrix time series. In this paper, we provide a unified treatment for the identification problem of CP factor models using both analytic and algebraic tools. In particular, we characterize the parameter space as the union of two subspaces, one identifiable and the other non-identifiable. We show that existing estimation methods only apply to an open proper subset of the identifiable subspace. In contrast, we propose a quasi-maximum likelihood estimation (QMLE) procedure for CP factor models, which allows consistent estimation on the whole identifiable subspace. Moreover, we show that the estimated loading matrices by QMLE achieve a faster convergence rate compared to existing approaches. A simulation study and a real application are conducted to demonstrate the finite-sample performance of the proposed method.
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BibTeX
@misc{ye2026identification,
title = {{Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models}},
author = {Hanzi Ye and Chun Yip Yau},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2609.20910},
eprint = {2609.20910},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.20910},
}
RIS
TY - UNPB
TI - Identification problem and quasi-maximum likelihood estimation for matrix-variate CP-factor models
AU - Hanzi Ye
AU - Chun Yip Yau
PY - 2026
DA - 2026/10/10
PB - arXiv
DO - 10.48550/arxiv.2609.20910
UR - https://arxiv.org/abs/2609.20910
AB - Matrix-valued time series, arising in diverse fields such as economics, neuroscience, and recommender systems, have become increasingly prominent in modern data analysis. Among various modeling frameworks, the matrix-variate CP-factor model represents an important and widely applicable class for capturing low-rank structures in matrix time series. In this paper, we provide a unified treatment for the identification problem of CP factor models using both analytic and algebraic tools. In particular, we characterize the parameter space as the union of two subspaces, one identifiable and the other non-identifiable. We show that existing estimation methods only apply to an open proper subset of the identifiable subspace. In contrast, we propose a quasi-maximum likelihood estimation (QMLE) procedure for CP factor models, which allows consistent estimation on the whole identifiable subspace. Moreover, we show that the estimated loading matrices by QMLE achieve a faster convergence rate compared to existing approaches. A simulation study and a real application are conducted to demonstrate the finite-sample performance of the proposed method.
ER -