Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
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Cites work
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- ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
- Asymptotics of spectral density estimates
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Eigenvalue ratio test for the number of factors
- Factor models in high-dimensional time series: A time-domain approach
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- scientific article; zbMATH DE number 3278338 (Why is no real title available?)
- Improved penalization for determining the number of factors in approximate factor models
- Inertia characteristics of self-adjoint matrix polynomials
- Nonlinear system theory: Another look at dependence
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Testing hypotheses about the number of factors in large factor models
- The Generalized Dynamic Factor Model
- The generalized dynamic factor model consistency and rates
Cited in
(42)- Optimal dimension reduction for high-dimensional and functional time series
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Time-varying general dynamic factor models and the measurement of financial connectedness
- D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets
- Prediction of singular VARs and an application to generalized dynamic factor models
- Efficient estimation of nonstationary factor models
- Generalized infinite factorization models
- The generalized dynamic factor model: one-sided estimation and forecasting
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
- scientific article; zbMATH DE number 7307121 (Why is no real title available?)
- Forecasting multiple time series with one-sided dynamic principal components
- Principal Component Analysis of High-Frequency Data
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
- Factor and Idiosyncratic Empirical Processes
- The Generalized Dynamic Factor Model
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Quantifying noise in survey expectations
- Factor models for high‐dimensional functional time series I: Representation results
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Inferential theory for generalized dynamic factor models
- An Algebraic Estimator for Large Spectral Density Matrices
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Bridging factor and sparse models
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Robust forecasting of multiple time series with one-sided dynamic principal components
- Estimation and Inference on Time-Varying FAVAR Models
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
- On the statistical analysis of high-dimensional factor models
- Tucker tensor factor models: matricization and mode-wise PCA estimation
- The dynamic, the static, and the weak: factor models and the analysis of high-dimensional time series
- Detecting outliers in high-dimensional time series by dynamic factor models
- Common factors and common shocks: a tale of three (close) signal extraction procedures
- Marc Hallin: a commented bibliography (from 1972 to 2023)
- Modelling large dimensional datasets with Markov switching factor models
- General spatio-temporal factor models for high-dimensional random fields on a lattice
- Common Components Structural VARs
- Frequency-Band Estimation of the Number of Factors
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