Constrained Factor Models for High-Dimensional Matrix-Variate Time Series

Journal of the American Statistical Association ◽

10.1080/01621459.2019.1584899 ◽

2019 ◽

Vol 115 (530) ◽

pp. 775-793 ◽

Author(s):

Elynn Y. Chen ◽

Ruey S. Tsay ◽

Rong Chen

Keyword(s):

Time Series ◽

Factor Models ◽

High Dimensional ◽

Dimensional Matrix

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Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models

Scandinavian Journal of Statistics ◽

10.1111/sjos.12508 ◽

2020 ◽

Author(s):

Monika Bours ◽

Ansgar Steland

Keyword(s):

Time Series ◽

Linear Time ◽

Factor Models ◽

Covariance Matrices ◽

High Dimensional ◽

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Threshold factor models for high-dimensional time series

Journal of Econometrics ◽

10.1016/j.jeconom.2020.01.005 ◽

2020 ◽

Vol 216 (1) ◽

pp. 53-70 ◽

Author(s):

Xialu Liu ◽

Rong Chen

Keyword(s):

Time Series ◽

Factor Models ◽

High Dimensional ◽

Threshold Factor

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Error-Correction Factor Models for High-dimensional Cointegrated Time Series

Statistica Sinica ◽

10.5705/ss.202017.0250 ◽

2020 ◽

Author(s):

Yundong Tu ◽

Qiwei Yao ◽

Rongmao Zhang

Keyword(s):

Time Series ◽

Error Correction ◽

Correction Factor ◽

Factor Models ◽

High Dimensional

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Comment on Factor Models for High-Dimensional Tensor Time Series

Journal of the American Statistical Association ◽

10.1080/01621459.2021.2024214 ◽

2022 ◽

pp. 1-12

Author(s):

Daniel Peña

Keyword(s):

Time Series ◽

Factor Models ◽

High Dimensional

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Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series

Econometrics Journal ◽

10.1111/ectj.12024 ◽

2014 ◽

Vol 17 (2) ◽

pp. S101-S131 ◽

Author(s):

Song Song ◽

Wolfgang K. Härdle ◽

Ya'acov Ritov

Keyword(s):

Time Series ◽

Factor Models ◽

Stationary Time Series ◽

High Dimensional ◽

Stationary Time

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Factor Models for High-Dimensional Tensor Time Series

Journal of the American Statistical Association ◽

10.1080/01621459.2021.1912757 ◽

2021 ◽

pp. 1-59

Author(s):

Rong Chen ◽

Dan Yang ◽

Cun-Hui Zhang

Keyword(s):

Time Series ◽

Factor Models ◽

High Dimensional

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

Stochastic Processes and their Applications ◽

10.1016/j.spa.2013.04.001 ◽

2013 ◽

Vol 123 (7) ◽

pp. 2678-2695 ◽

Author(s):

Marc Hallin ◽

Marco Lippi

Keyword(s):

Time Series ◽

Time Domain ◽

Factor Models ◽

High Dimensional

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Factor models for matrix-valued high-dimensional time series

Journal of Econometrics ◽

10.1016/j.jeconom.2018.09.013 ◽

2019 ◽

Vol 208 (1) ◽

pp. 231-248 ◽

Author(s):

Dong Wang ◽

Xialu Liu ◽

Rong Chen

Keyword(s):

Time Series ◽

Factor Models ◽

High Dimensional

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Regime-switching factor models for high-dimensional time series

Statistica Sinica ◽

10.5705/ss.2014.265t ◽

2017 ◽

Author(s):

Xialu Liu ◽

Rong Chen

Keyword(s):

Time Series ◽

Regime Switching ◽

Factor Models ◽

High Dimensional

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Statistical Inference for High-Dimensional Matrix-Variate Factor Models

Journal of the American Statistical Association ◽

10.1080/01621459.2021.1970569 ◽

2021 ◽

pp. 1-44

Author(s):

Elynn Y. Chen ◽

Jianqing Fan

Keyword(s):

Statistical Inference ◽

Factor Models ◽

High Dimensional ◽

Dimensional Matrix

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