Detection of multiple structural changes in matrix factor models
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Consistent selection of the number of change-points via sample-splitting
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Determination of the number of breaks in high-dimensional factor models via cross-validation
- Estimating and testing high dimensional factor models with multiple structural changes
- Factor models for matrix-valued high-dimensional time series
- Generalization of an inequality of Kolmogorov
- Identification and estimation of a large factor model with structural instability
- Identification and estimation of threshold matrix-variate factor models
- Inferential Theory for Factor Models of Large Dimensions
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- One-way or two-way factor model for matrix sequences?
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Projected estimation for large-dimensional matrix factor models
- Quasi-maximum likelihood estimation of break point in high-dimensional factor models
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- The likelihood ratio test for structural changes in factor models
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