Factor Network Autoregressions
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Cites work
- A randomized sequential procedure to determine the number of factors
- Community network auto-regression for high-dimensional time series
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- CP factor model for dynamic tensors
- Determining the Number of Factors in Approximate Factor Models
- Eigenvalue ratio test for the number of factors
- Factor Models for High-Dimensional Tensor Time Series
- Forecasting Using Principal Components From a Large Number of Predictors
- High-dimensional low-rank tensor autoregressive time series modeling
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- Inferential Theory for Factor Models of Large Dimensions
- Modelling matrix time series via a tensor CP-decomposition
- Network GARCH model
- Network vector autoregression
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Panel data models with interactive fixed effects
- Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
- Rank determination in tensor factor model
- Recursive estimation in large panel data models: theory and practice
- Simultaneous estimation and group identification for network vector autoregressive model with heterogeneous nodes
- The network origins of aggregate fluctuations
- The three-pass regression filter: a new approach to forecasting using many predictors
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