Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. One of the fundamental issues in using factor model for time series in practice is the determination of the number of factors to use....

We consider estimation of a linear or nonparametric additive model in which a few coefficients or additive components are "large" and may be objects of substantive interest, whereas others are "small" but not necessarily zero. The number of small coefficients or additive components may exceed...

To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study of Chinese stock market and examined for new...