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
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- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
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Cited in
(33)- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Inferential theory for generalized dynamic factor models
- Estimation and Inference on Time-Varying FAVAR Models
- The Generalized Dynamic Factor Model
- An Algebraic Estimator for Large Spectral Density Matrices
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Optimal dimension reduction for high-dimensional and functional time series
- The generalized dynamic factor model: one-sided estimation and forecasting
- scientific article; zbMATH DE number 7307121 (Why is no real title available?)
- Robust forecasting of multiple time series with one-sided dynamic principal components
- Forecasting multiple time series with one-sided dynamic principal components
- Principal Component Analysis of High-Frequency Data
- Quantifying noise in survey expectations
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Factor and Idiosyncratic Empirical Processes
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Generalized infinite factorization models
- Bridging factor and sparse models
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- On the statistical analysis of high-dimensional factor models
- D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
- Efficient estimation of nonstationary factor models
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
- Prediction of singular VARs and an application to generalized dynamic factor models
- Time-varying general dynamic factor models and the measurement of financial connectedness
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Factor models for high‐dimensional functional time series I: Representation results
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