Factor models for high‐dimensional functional time series II: Estimation and forecasting-Reference-Cited by-同舟云学术

Factor models for high‐dimensional functional time series II: Estimation and forecasting

Published:2023-02-06 Issue: Volume: Page:
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:Journal Time Series Analysis

Author:

Tavakoli Shahin¹^ORCID,Nisol Gilles²,Hallin Marc²^ORCID

Affiliation:

1. Research Center for Statistics University of Geneva Geneva Switzerland

2. ECARES and Département de Mathématique Université Libre de Bruxelles Brussels Belgium

Funder

EPSRC Centre for Doctoral Training in Additive Manufacturing

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12675

Reference59 articles.

1. Eigenvalue Ratio Test for the Number of Factors

2. AlessiL BarigozziM CapassoM.2009a.Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. ECB Working Paper No. 1115.

3. AlessiL BarigozziM CapassoM.2009b.A robust criterion for determining the number of factors in approximate factor models. ECB Working Paper No. 903.

4. Improved penalization for determining the number of factors in approximate factor models

5. Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel

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