Factor modeling for high-dimensional time series: inference for the number of factors

DOI10.1214/12-AOS970zbMath1273.62214arXiv1206.0613MaRDI QIDQ447821

Publication date: 29 August 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0613

zbMATH Keywords

white noise multivariate time series eigenanalysis autocovariance matrices blessing of dimensionality fast convergence rates ratio-based estimator strength of factors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Stochastic processes (60G99)

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