Factor modelling for high-dimensional time series: inference and model selection (Q2968469)
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scientific article; zbMATH DE number 6695519
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| English | Factor modelling for high-dimensional time series: inference and model selection |
scientific article; zbMATH DE number 6695519 |
Statements
Factor Modelling for High-Dimensional Time Series: Inference and Model Selection (English)
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16 March 2017
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high-dimensional time series
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factor analysis
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asymptotics
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information criterion
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out-of-sample prediction
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0.8453043103218079
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0.843758225440979
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0.8265880346298218
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0.8100507259368896
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0.8056573271751404
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