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

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