Sequential testing for structural stability in approximate factor models
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Publication:2186663
DOI10.1016/j.spa.2020.03.003zbMath1441.62208arXiv1708.02786OpenAlexW2745163193MaRDI QIDQ2186663
Matteo Barigozzi, Lorenzo Trapani
Publication date: 9 June 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.02786
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Sequential estimation (62L12)
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