Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data

DOI10.1080/01621459.2022.2071279arXiv2103.14626OpenAlexW3141927404MaRDI QIDQ6185567

Ruey S. Tsay, Zhaoxing Gao

Publication date: 8 January 2024

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.14626

zbMATH Keywords

principal component analysisheterogeneitycommonalitylarge-scale time seriesdistributed factor model

Mathematics Subject Classification ID

Statistics (62-XX)

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