Determining the number of factors for high-dimensional time series (Q1782115)
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scientific article; zbMATH DE number 6938700
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| English | Determining the number of factors for high-dimensional time series |
scientific article; zbMATH DE number 6938700 |
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Determining the number of factors for high-dimensional time series (English)
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18 September 2018
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autocovariance matrices
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contribution ratio
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eigenvalues
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factor models
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number of factors
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0.9430084
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0.91820604
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0.90701276
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0.89976966
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0.89926994
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0.8979469
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0.8963875
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0.8848267
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