Estimation of latent factors for high-dimensional time series
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Publication:3107980
DOI10.1093/biomet/asr048zbMath1228.62110arXiv1004.2138OpenAlexW2135086139MaRDI QIDQ3107980
Clifford Lam, Neil Bathia, Qiwei Yao
Publication date: 28 December 2011
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.2138
dimension reductionfactor modeleigenanalysisconvergence in \(L_{2}\)-normcurse and blessing of dimensionality
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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