Supervised factor modeling for high-dimensional linear time series

DOI10.1016/J.JECONOM.2025.105995MaRDI QIDQ6969774zbMATH OpenFDO

Authors Feiqing Huang, Kexin Lu, Yao Zheng, Guodong Li

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105995

zbMATH Keywords

dimension reductionhigh-dimensional time seriesinfinite-order VARtensor decompositionweak group sparsity

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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