Modelling multiple time series via common factors

DOI10.1093/BIOMET/ASN009zbMATH Open1437.62574OpenAlexW2038395331MaRDI QIDQ3631503FDOQ3631503

Authors: Jiazhu Pan, Qiwei Yao 

Publication date: 10 June 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/22876/

Recommendations

• Identification of common factors in multivariate time series modeling
• Modelling multiple time series: Achieving the aims
• Modelling non-stationary multivariate time series of counts via common factors
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS
• 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

zbMATH Keywords

dimension reductionfactor modelmultivariate time seriesnon-stationaritywhite noiseportmanteau testcross-correlation function

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cited In (52)

• 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
• Factor Modeling for Clustering High-Dimensional Time Series
• Simultaneous Decorrelation of Matrix Time Series
• Grouped network vector autoregression
• Factor modeling of multivariate time series: a frequency components approach
• Common factors in conditional distributions for bivariate time series
• 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
• Nonstationary dynamic factor analysis
• Robust inference of risks of large portfolios
• Threshold factor models for high-dimensional time series
• Fitting dynamic factor models to non-stationary time series
• Extracting a low-dimensional predictable time series
• 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
• Transformed contribution ratio test for the number of factors in static approximate factor models
• Doubly constrained factor models with applications
• A factor-GARCH model for high dimensional volatilities
• Eigenvalue difference test for the number of common factors in the approximate factor models
• Identifying the finite dimensionality of curve time series
• Dynamic Multivariate Functional Data Modeling via Sparse Subspace Learning
• Robust determination for the number of common factors in the approximate factor models
• 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
• Factor Models for High-Dimensional Tensor Time Series
• 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 functional time series II: Estimation and forecasting
• Determining the number of factors in a multivariate error correction-volatility factor model
• Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
• Improved penalization for determining the number of factors in approximate factor models
• 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
• Vector autoregression and envelope model
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• On a new procedure for identifying a dynamic common factor model
• Estimating factor models for multivariate volatilities: an innovation expansion method
• On determination of the number of factors in an approximate factor model

This page was built for publication: Modelling multiple time series via common factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3631503)