Factor modeling for high-dimensional time series: inference for the number of factors (Q447821): Difference between revisions
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| Property / author | |||
| Property / author: Clifford Lam / rank | |||
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| Property / author: Qiwei Yao / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G99 / rank | |||
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| Property / zbMATH DE Number: 6073772 / rank | |||
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| Property / zbMATH Keywords | |||
autocovariance matrices | |||
| Property / zbMATH Keywords: autocovariance matrices / rank | |||
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blessing of dimensionality | |||
| Property / zbMATH Keywords: blessing of dimensionality / rank | |||
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eigenanalysis | |||
| Property / zbMATH Keywords: eigenanalysis / rank | |||
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fast convergence rates | |||
| Property / zbMATH Keywords: fast convergence rates / rank | |||
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multivariate time series | |||
| Property / zbMATH Keywords: multivariate time series / rank | |||
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ratio-based estimator | |||
| Property / zbMATH Keywords: ratio-based estimator / rank | |||
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strength of factors | |||
| Property / zbMATH Keywords: strength of factors / rank | |||
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white noise | |||
| Property / zbMATH Keywords: white noise / rank | |||
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Revision as of 09:30, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor modeling for high-dimensional time series: inference for the number of factors |
scientific article |
Statements
Factor modeling for high-dimensional time series: inference for the number of factors (English)
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29 August 2012
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autocovariance matrices
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blessing of dimensionality
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eigenanalysis
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fast convergence rates
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multivariate time series
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ratio-based estimator
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strength of factors
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white noise
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