Factor Modeling for High Dimensional Time Series

被引：0

作者：

Lam, Clifford ^{[1
]}

Yao, Qiwei ^{[1
]}

Bathia, Neil ^{[1
]}

机构：

[1] London Sch Econ, London, England

来源：

RECENT ADVANCES IN FUNCTIONAL DATA ANALYSIS AND RELATED TOPICS | 2011年

关键词：

DYNAMIC-FACTOR MODEL; ARBITRAGE; NUMBER;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We briefly compare an econometric factor model and a statistical factor model, the latter being to capture the linear dynamic structure of the data y(t) only. We propose a method for decomposing {y(t)} into a common component and a white noise in the sense of a statistical factor model, together with an eye-ball test for finding the number of factors. Rates of convergence for various estimators are spelt out explicitly.

引用

页码：203 / 207

页数：5

共 50 条

[21] Factor models for matrix-valued high-dimensional time series
Wang, Dong
Liu, Xialu
Chen, Rong
JOURNAL OF ECONOMETRICS, 2019, 208 (01) : 231 - 248
[22] High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
Wang, Di
Zheng, Yao
Lian, Heng
Li, Guodong
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2022, 117 (539) : 1338 - 1356
[23] FACTOR MODELS FOR HIGH-DIMENSIONAL FUNCTIONAL TIME SERIES I: REPRESENTATION RESULTS
Hallin, Marc
Nisol, Gilles
Tavakoli, Shahin
JOURNAL OF TIME SERIES ANALYSIS, 2023, 44 (5-6) : 578 - 600
[24] Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series
Hallin, Marc
ECONOMETRICS, 2022, 10 (04)
[25] Robust factor modelling for high-dimensional time series: An application to air pollution data
Reisen, Valderio Anselmo
Sgrancio, Adriano Marcio
Levy-Leduc, Celine
Bondon, Pascal
Monte, Edson Zambon
Aranda Cotta, Higor Henrique
Ziegelmann, Flavio Augusto
APPLIED MATHEMATICS AND COMPUTATION, 2019, 346 : 842 - 852
[26] Factor modeling of multivariate time series: A frequency components approach
Sundararajan, Raanju R.
JOURNAL OF MULTIVARIATE ANALYSIS, 2023, 197
[27] Rotation in the dynamic factor modeling of multivariate stationary time series
Molenaar, PCM
Nesselroade, JR
PSYCHOMETRIKA, 2001, 66 (01) : 99 - 107
[28] Rotation in the dynamic factor modeling of multivariate stationary time series
Peter C. M. Molenaar
John R. Nesselroade
Psychometrika, 2001, 66 : 99 - 107
[29] ON THE FREQUENCY DOMAIN DETECTION OF HIGH DIMENSIONAL TIME SERIES
Rosuel, A.
Vallet, P.
Loubaton, P.
Mestre, X.
2020 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, 2020, : 8782 - 8786
[30] Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Trucios, Carlos
Mazzeu, Joao H. G.
Hallin, Marc
Hotta, Luiz K.
Valls Pereira, Pedro L.
Zevallos, Mauricio
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2022, 41 (01) : 40 - 52

← 1 2 3 4 5 →