Modelling multiple time series via common factors
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Publication:3631503
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- Publication:3474002
- Multivariate time series models for mixed data
- scientific article; zbMATH DE number 4135256
- Factor modeling of multivariate time series: a frequency components approach
Cited in
(52)- On determination of the number of factors in an approximate factor model
- Multivariate modelling of long memory processes with common components
- Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
- Factor models for matrix-valued high-dimensional time series
- Principal component analysis using frequency components of multivariate time series
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Grouped network vector autoregression
- Factor Modeling for Clustering High-Dimensional Time Series
- Simultaneous Decorrelation of Matrix Time Series
- Common factors in conditional distributions for bivariate time series
- Factor modeling of multivariate time series: a frequency components approach
- Rank determination in tensor factor model
- A dynamic logistic regression for network link prediction
- Nonlinear principal components and long-run implications of multivariate diffusions
- Multi-view metro station clustering based on passenger flows: a functional data-edged network community detection approach
- Robust factor models for high-dimensional time series and their forecasting
- A structural-factor approach to modeling high-dimensional time series and space-time data
- Robust inference of risks of large portfolios
- Nonstationary dynamic factor analysis
- Threshold factor models for high-dimensional time series
- Fitting dynamic factor models to non-stationary time series
- Extracting a low-dimensional predictable time series
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Doubly constrained factor models with applications
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Eigenvalue difference test for the number of common factors in the approximate factor models
- A factor-GARCH model for high dimensional volatilities
- Identifying the finite dimensionality of curve time series
- Robust determination for the number of common factors in the approximate factor models
- Dynamic Multivariate Functional Data Modeling via Sparse Subspace Learning
- Modelling non-stationary multivariate time series of counts via common factors
- Modulated oscillations in many dimensions
- Generalized principal component analysis for moderately non-stationary vector time series
- Spatial quantile estimation of multivariate threshold time series models
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Principal component analysis for second-order stationary vector time series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor Models for High-Dimensional Tensor Time Series
- Improved penalization for determining the number of factors in approximate factor models
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Determining the number of factors in a multivariate error correction-volatility factor model
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
- Identification of common factors in multivariate time series modeling
- Sparse plus low-rank identification for dynamical latent-variable graphical AR models
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Vector autoregression and envelope model
- On a new procedure for identifying a dynamic common factor model
- Estimating factor models for multivariate volatilities: an innovation expansion method
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