Factor modelling for high-dimensional time series: inference and model selection
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Cites work
- A central limit theorem for general weighted sums of LNQD random variables and its application
- Central Limit Theorems for Sums of Dependent Vector Variables
- Central limit theorems for weighted sums of a spatial process under a class of stochastic and fixed designs
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Dependent central limit theorems and invariance principles
- Determining the Number of Factors in Approximate Factor Models
- Estimation of latent factors for high-dimensional time series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Fitting autoregressive models for prediction
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting economic time series using targeted predictors
- Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
- Shrinkage tuning parameter selection with a diverging number of parameters
Cited in
(24)- On determination of the number of factors in an approximate factor model
- Estimation of linear functional of large spectral density matrix and application to Whittle's approach
- Factor modeling of multivariate time series: a frequency components approach
- Rank determination in tensor factor model
- On high-dimensional wavelet eigenanalysis
- Time series modelling with semiparametric factor dynamics
- Robust factor modelling for high-dimensional time series: an application to air pollution data
- Adaptive test for mean vectors of high-dimensional time series data with factor structure
- Robust factor models for high-dimensional time series and their forecasting
- A structural-factor approach to modeling high-dimensional time series and space-time data
- Estimation of latent factors for high-dimensional time series
- Threshold factor models for high-dimensional time series
- Regularization for stationary multivariate time series
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Determining the number of factors for high-dimensional time series
- Recent development of high-dimensional time series analysis
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Wavelet estimation for factor models with time-varying loadings
- Factor modeling for high-dimensional time series: inference for the number of factors
- Error-correction factor models for high-dimensional cointegrated time series
- Modelling high-dimensional time series by generalized linear dynamic factor models: an introductory survey
- On the empirical spectral distribution of large wavelet random matrices based on mixed-Gaussian fractional measurements in moderately high dimensions
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
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