Factor models in high-dimensional time series: A time-domain approach

DOI10.1016/j.spa.2013.04.001zbMath1285.62106MaRDI QIDQ2447649

Marc Hallin, Marco Lippi

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.001

zbMATH Keywords

panel data; spectral density; factor models; dynamic principal components; dynamic eigenvalues; dynamic eigenvectors

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

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