Factor modeling for high-dimensional time series: inference for the number of factors (Q447821)
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scientific article; zbMATH DE number 6073772
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor modeling for high-dimensional time series: inference for the number of factors |
scientific article; zbMATH DE number 6073772 |
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Factor modeling for high-dimensional time series: inference for the number of factors (English)
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29 August 2012
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autocovariance matrices
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blessing of dimensionality
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eigenanalysis
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fast convergence rates
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multivariate time series
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ratio-based estimator
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strength of factors
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white noise
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