Factor models in high-dimensional time series-A time-domain approach

Stochastic Processes and their Applications

Volumn 123, Issue 7, 2013, Pages 2678-2695

  Hallina, Marc ^a,b   Lippi, Marco ^c,d  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^b PRINCETON UNIVERSITY   (United States)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

^d EIEF and CEPR   (Italy)

Author keywords

Dynamic eigenvalue; Dynamic eigenvector; Dynamic principal component; Factor model; High dimension; Panel data; Spectral density; Time series

Indexed keywords

BIG DATA; BIOINFORMATICS; ECONOMICS; EIGENVALUES AND EIGENFUNCTIONS; PRINCIPAL COMPONENT ANALYSIS; SPECTRAL DENSITY; STATISTICS; TIME SERIES;

DYNAMIC EIGENVALUE; FACTOR MODEL; HIGH DIMENSIONS; PANEL DATA; PRINCIPAL COMPONENTS;

TIME DOMAIN ANALYSIS;

EID: 84885030870     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2013.04.001     Document Type: Article

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