Determining the number of factors for high-dimensional time series
type: Item
instance of: scholarly article
title: Determining the number of factors for high-dimensional time series
author: G. Richomme
published in: Statistics and Its Interface
publication date: 2018-09-18T00:00:00Z
Mathematics Subject Classification ID: 60E99
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6938700
zbMATH Keywords: autocovariance matrices
zbMATH Keywords: contribution ratio
zbMATH Keywords: eigenvalues
zbMATH Keywords: factor models
zbMATH Keywords: number of factors
MaRDI profile type: Publication
Wikidata QID: Q130157759
DOI: 10.4310/SII.2018.V11.N2.A8
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description: scientific article; zbMATH DE number 6938700