Factor Modelling for High-Dimensional Time Series: Inference and Model Selection

DOI10.1111/jtsa.12207zbMath1360.62453OpenAlexW2516300591MaRDI QIDQ2968469

Ye Lu, Chun Yip Yau, Ngai Hang Chan

Publication date: 16 March 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12207

zbMATH Keywords

asymptoticsfactor analysisinformation criterionhigh-dimensional time seriesout-of-sample prediction

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Estimation of linear functional of large spectral density matrix and application to Whittle's approach, Wavelet estimation for factor models with time-varying loadings, On determination of the number of factors in an approximate factor model

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