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Estimation of latent factors for high-dimensional time series

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  1. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
  2. Yuefeng Han & Dan Yang & Cun-Hui Zhang & Rong Chen, 2021. "CP Factor Model for Dynamic Tensors," Papers 2110.15517, arXiv.org, revised Apr 2024.
  3. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  4. Zhaoxing Gao & Ruey S. Tsay, 2020. "Modeling High-Dimensional Unit-Root Time Series," Papers 2005.03496, arXiv.org, revised Aug 2020.
  5. Gao, Zhaoxing & Tsay, Ruey S., 2023. "A Two-Way Transformed Factor Model for Matrix-Variate Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 83-101.
  6. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
  7. Puyi Fang & Zhaoxing Gao & Ruey S. Tsay, 2023. "Determination of the effective cointegration rank in high-dimensional time-series predictive regressions," Papers 2304.12134, arXiv.org, revised Apr 2023.
  8. Reisen, Valdério Anselmo & Sgrancio, Adriano Marcio & Lévy-Leduc, Céline & Bondon, Pascal & Monte, Edson Zambon & Aranda Cotta, Higor Henrique & Ziegelmann, Flávio Augusto, 2019. "Robust factor modelling for high-dimensional time series: An application to air pollution data," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 842-852.
  9. Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021. "Recursive estimation in large panel data models: Theory and practice," Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
  10. Valdério Anselmo Reisen & Céline Lévy-Leduc & Edson Zambon Monte & Pascal Bondon, 2024. "A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method," Statistical Papers, Springer, vol. 65(5), pages 2865-2886, July.
  11. Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
  12. Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
  13. Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015. "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," LSE Research Online Documents on Economics 61886, London School of Economics and Political Science, LSE Library.
  14. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
  15. Yu, Long & He, Yong & Kong, Xinbing & Zhang, Xinsheng, 2022. "Projected estimation for large-dimensional matrix factor models," Journal of Econometrics, Elsevier, vol. 229(1), pages 201-217.
  16. He, Jing & Chen, Song Xi, 2016. "Testing super-diagonal structure in high dimensional covariance matrices," Journal of Econometrics, Elsevier, vol. 194(2), pages 283-297.
  17. Li, Weiming & Gao, Jing & Li, Kunpeng & Yao, Qiwei, 2016. "Modelling multivariate volatilities via latent common factors," LSE Research Online Documents on Economics 68121, London School of Economics and Political Science, LSE Library.
  18. Yuefeng Han & Rong Chen & Dan Yang & Cun-Hui Zhang, 2020. "Tensor Factor Model Estimation by Iterative Projection," Papers 2006.02611, arXiv.org, revised Jul 2024.
  19. Tata Subba Rao & Granville Tunnicliffe Wilson & Ngai Hang Chan & Ye Lu & Chun Yip Yau, 2017. "Factor Modelling for High-Dimensional Time Series: Inference and Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 285-307, March.
  20. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
  21. Zhaoxing Gao & Ruey S. Tsay, 2020. "A Two-Way Transformed Factor Model for Matrix-Variate Time Series," Papers 2011.09029, arXiv.org.
  22. Guerrero, Víctor & Islas C., Alejandro & Poncela, Pilar & Rodríguez, Julio & Sánchez-Mangas, Rocío, 2014. "Mexico: Combining monthly inflation predictions from surveys," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
  23. Liu, Xialu & Chen, Rong, 2020. "Threshold factor models for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 53-70.
  24. Gao, Zhaoxing & Ma, Yingying & Wang, Hansheng & Yao, Qiwei, 2019. "Banded spatio-temporal autoregressions," Journal of Econometrics, Elsevier, vol. 208(1), pages 211-230.
  25. Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
  26. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
  27. Jorge Caiado & Nuno Crato & Pilar Poncela, 2020. "A fragmented-periodogram approach for clustering big data time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 14(1), pages 117-146, March.
  28. Passemier, Damien & Yao, Jianfeng, 2014. "Estimation of the number of spikes, possibly equal, in the high-dimensional case," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 173-183.
  29. Chen, Rong & Xiao, Han & Yang, Dan, 2021. "Autoregressive models for matrix-valued time series," Journal of Econometrics, Elsevier, vol. 222(1), pages 539-560.
  30. Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024. "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers 2407.05624, arXiv.org.
  31. Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
  32. Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021. "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1498-1508.
  33. Liu, Xialu & Xiao, Han & Chen, Rong, 2016. "Convolutional autoregressive models for functional time series," Journal of Econometrics, Elsevier, vol. 194(2), pages 263-282.
  34. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
  35. Ruey S. Tsay, 2016. "Some Methods for Analyzing Big Dependent Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 673-688, October.
  36. Lam, Clifford, 2020. "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics 101667, London School of Economics and Political Science, LSE Library.
  37. Yang, Yang & Yang, Yanrong & Shang, Han Lin, 2022. "Feature extraction for functional time series: Theory and application to NIR spectroscopy data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  38. Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
  39. Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015. "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," Journal of Econometrics, Elsevier, vol. 189(2), pages 297-312.
  40. Cees Diks & Bram Wouters, 2023. "Noise reduction for functional time series," Papers 2307.02154, arXiv.org.
  41. Wang, Dong & Liu, Xialu & Chen, Rong, 2019. "Factor models for matrix-valued high-dimensional time series," Journal of Econometrics, Elsevier, vol. 208(1), pages 231-248.
  42. Gao, Yuan & Shang, Han Lin & Yang, Yanrong, 2019. "High-dimensional functional time series forecasting: An application to age-specific mortality rates," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 232-243.
  43. Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
  44. Chen Tang & Yanlin Shi, 2021. "Forecasting High-Dimensional Financial Functional Time Series: An Application to Constituent Stocks in Dow Jones Index," JRFM, MDPI, vol. 14(8), pages 1-13, July.
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