Estimating change-point latent factor models for high-dimensional time series
type: Item
instance of: scholarly article
title: Estimating change-point latent factor models for high-dimensional time series
zbMATH Open document ID: 1478.62260
author: Yanyan Li
published in: Journal of Statistical Planning and Inference
publication date: 2021-12-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H25
zbMATH DE Number: 7444355
zbMATH Keywords: change point estimation
zbMATH Keywords: high-dimensional time series
zbMATH Keywords: large latent factor model
zbMATH Keywords: non-stationary process
zbMATH Keywords: strong cross-sectional dependence
MaRDI profile type: Publication
full work available at URL: j.jspi.2021.07.006
OpenAlex ID: W3198813250
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DOI: 10.1016/J.JSPI.2021.07.006
description: scientific article; zbMATH DE number 7444355