Order determination of large dimensional dynamic factor model

DOI10.1016/J.JMVA.2026.105658MaRDI QIDQ7304394zbMATH OpenFDO

Authors Zhidong Bai, Ruihan Liu, Chen Wang

Publication date 27 July 2026

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2026.105658

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Estimation in multivariate analysis (62H12)

Cites work

• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Determining the number of factors when the number of factors can increase with sample size
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Eigenvalue ratio test for the number of factors
• Eigenvalues of large sample covariance matrices of spiked population models
• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting in dynamic factor models subject to structural instability
• Forecasting multiple time series with one-sided dynamic principal components
• High-dimensional VARs with common factors
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On time-varying factor models: estimation and testing
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Spectral analysis of large dimensional random matrices
• Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
• Testing hypotheses about the number of factors in large factor models

This page was built for publication: Order determination of large dimensional dynamic factor model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7304394)