Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues

DOI10.1080/01621459.2020.1862668zbMath1506.62365arXiv1808.07932OpenAlexW3040514440MaRDI QIDQ5881144

Zhaoxing Gao, Ruey S. Tsay

Publication date: 9 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07932

zbMATH Keywords

factor modelhigh dimensionwhite noise testeigen-analysisdiverging eigenvaluesprojected principal component analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Testing for symmetric correlation matrices with applications to factor models ⋮ Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data

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