Regime-switching factor models for high-dimensional time series

DOI10.5705/SS.2014.265TzbMath1356.62149OpenAlexW2519765233MaRDI QIDQ2828608

Rong Chen, Xialu Liu

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2014.265t

zbMATH Keywords

Viterbi algorithmfactor modelnonstationary processhigh-dimensional time serieshidden Markov processregime switch

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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Robust factor models for high-dimensional time series and their forecasting ⋮ Short‐term forecasting with a computationally efficient nonparametric transfer function model ⋮ Factor models for matrix-valued high-dimensional time series ⋮ Threshold factor models for high-dimensional time series ⋮ Estimating change-point latent factor models for high-dimensional time series

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