Multilevel Matrix Factor Model

Abstract: Large-scale matrix data has been widely discovered and continuously studied in various fields recently. Considering the multi-level factor structure and utilizing the matrix structure, we propose a multilevel matrix factor model with both global and local factors. The global factors can affect all matrix times series, whereas the local factors are only allow to affect within each specific matrix time series. The estimation procedures can consistently estimate the factor loadings and determine the number of factors. We establish the asymptotic properties of the estimators. The simulation is presented to illustrate the performance of the proposed estimation method. We utilize the model to analyze eight indicators across 200 stocks from ten distinct industries, demonstrating the empirical utility of our proposed approach.