Estimating change-point latent factor models for high-dimensional time series

DOI10.1016/j.jspi.2021.07.006zbMath1478.62260OpenAlexW3198813250MaRDI QIDQ2059427

Yanyan Li

Publication date: 14 December 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.07.006

zbMATH Keywords

high-dimensional time serieschange point estimationnon-stationary processlarge latent factor modelstrong cross-sectional dependence

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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