Factor models in high-dimensional time series—A time-domain approach
Year of publication: |
2013
|
---|---|
Authors: | Hallin, Marc ; Lippi, Marco |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 7, p. 2678-2695
|
Publisher: |
Elsevier |
Subject: | Time series | High dimension | Factor model | Dynamic eigenvalue | Dynamic eigenvector | Dynamic principal component | Spectral density | Panel data |
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