Consistent estimation of time-varying loadings in high-dimensional factor models (Q1739877)
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scientific article; zbMATH DE number 7048565
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| English | Consistent estimation of time-varying loadings in high-dimensional factor models |
scientific article; zbMATH DE number 7048565 |
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Consistent estimation of time-varying loadings in high-dimensional factor models (English)
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29 April 2019
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factor models
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time-varying loadings
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consistent estimation
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maximum likelihood estimation
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two-step estimation
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principal components
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0.8767991662025452
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0.8295653462409973
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0.8259074091911316
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0.8224911689758301
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0.8184826970100403
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