Identification and estimation of threshold matrix-variate factor models (Q5043804)
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scientific article; zbMATH DE number 7597082
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| English | Identification and estimation of threshold matrix-variate factor models |
scientific article; zbMATH DE number 7597082 |
Statements
Identification and estimation of threshold matrix‐variate factor models (English)
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6 October 2022
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curse of dimensionality
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factor models
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high-dimensional time series
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matrix-variate time series
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thresholding effect
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0.8228623270988464
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0.7968360781669617
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0.7787443399429321
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0.7669658064842224
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0.7472400069236755
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