Factor modeling for high-dimensional time series: Inference for the number of factors1

Annals of Statistics

Volumn 40, Issue 2, 2012, Pages 694-726

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

^a Peking University   (China)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Autocovariance matrices; Blessing of dimensionality; Eigenanalysis; Fast convergence rates; Multivariate time series; Ratio based estimator; Strength of factors; White noise

Indexed keywords

EID: 84872040116     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AOS970     Document Type: Article

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