School of Mathematical Sciences Academic Report [2025] 048  

(High-Level University Construction Series Report No. 1070)  

Lecture Title: White Noise Test for The Number of Factors in A Two-Way Factor Model of High-Dimensional Matrix-Variate Time Series  

Speaker: Prof. Qiang Xia (South China Agricultural University)  

Date & Time: 3:30 PM - 4:30 PM, June 25, 2025  

Venue: Tencent Meeting ID: 208-253-748  

Abstract: This paper introduces a novel two-way factor model for analyzing high-dimensional matrix-variate time series. To estimate the number of factors in this two-way factor model, we decompose the series into two parts: one being a non-weakly correlated series and the other being a weakly correlated noise. By comparing the difference between two series, we can construct white-noise based signal statistics to determine the number of factors in row loading matrix (column loading matrix). Furthermore, to mitigate the negative impact on the accuracy of the estimation, which is caused by the interaction between the row loading matrix and the column loading matrix, we propose a transformation so that the transformed model only contains the row loading matrix (column loading matrix). We define sequences of ratios of two test statistics as signal statistics to determine the number of factors and derive the consistence of the estimation. We implement numerical studies to examine the performance of the new methods.  

Biography: Qiang Xia, Professor and Doctoral Supervisor, currently serves as Vice Dean of the School of Mathematics and Informatics/College of Software at South China Agricultural University. He specializes in time series analysis and high-dimensional data analysis, with over 40 publications in academic journals including mBio, Statistica Sinica, JTSA, CSDA, and Science China Mathematics. He has authored a monograph published by Science Press and contributed a book chapter for Springer. His research has been supported by the Major Research Plan (Cultivation Project) of NSFC, General Program of NSFC, and Youth Program of NSSFC. He serves as a reviewer for Mathematical Reviews, Executive Council Member of Guangdong Statistical Society, and Vice President of Guangdong Society of Applied Statistics.  

All faculty and students are welcome to attend!  

Invited by: School of Mathematical Sciences  

School of Mathematical Sciences  

June 20, 2025