Split-and-Conquer: Distributed Factor Modeling for High-Dimensional Matrix-Variate Time Series
arXiv:2601.11091v1 Announce Type: new Abstract: In this paper, we propose a distributed framework for reducing the dimensionality of high-dimensional, large-scale, heterogeneous matrix-variate time series data using a factor model. The data are first partitioned column-wise (or row-wise) and allocated to node servers, where each node estimates the row (or column) loading matrix via two-dimensional tensor PCA. These local estimates are then transmitted to a central server and aggregated, followed by a final PCA step to obtain the global […]