Estimation of latent factors for high-dimensional time series

Biometrika

Volumn 98, Issue 4, 2011, Pages 901-918

  Lam, Clifford ^a   Yao, Qiwei ^a   Bathia, Neil ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b Jump Trading   (United States)

Author keywords

Convergence in L 2 norm; Curse and blessing of dimensionality; Dimension reduction; Eigenanalysis; Factor model

Indexed keywords

EID: 82255192891     PISSN: 00063444     EISSN: 14643510     Source Type: Journal    
DOI: 10.1093/biomet/asr048     Document Type: Article

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