Estimation and inference for high dimensional factor model with regime switching (Q6554223)
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scientific article; zbMATH DE number 7863977
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and inference for high dimensional factor model with regime switching |
scientific article; zbMATH DE number 7863977 |
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Estimation and inference for high dimensional factor model with regime switching (English)
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12 June 2024
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factor model
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regime switching
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maximum likelihood
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high dimension
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EM algorithm
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turning points
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