Factor modeling for high-dimensional time series: Inference for the number of factors

4 June 2012

Papers citing "Factor modeling for high-dimensional time series: Inference for the number of factors"

24 / 24 papers shown

Title
ExMAG: Learning of Maximally Ancestral Graphs Petr Rysavý Pavel Rytír Xiaoyu He Jakub Marecek Georgios Korpas CML 69 0 0 11 Mar 2025
Guaranteed Multidimensional Time Series Prediction via Deterministic Tensor Completion Theory Hao Shu Jicheng Li Yu Jin Hailin Wang AI4TS 52 0 0 28 Jan 2025
Factor Augmented Tensor-on-Tensor Neural Networks Guanhao Zhou Yuefeng Han Xiufan Yu 32 1 0 30 May 2024
Factor Strength Estimation in Vector and Matrix Time Series Factor Models Weilin Chen Clifford Lam AI4TS 38 1 0 12 May 2024
Testing for common structures in high-dimensional factor models M. Duker V. Pipiras 25 0 0 28 Mar 2024
Optimal vintage factor analysis with deflation varimax Xin Bing Dian Jin Yuqian Zhang Yuqian Zhang 13 1 0 16 Oct 2023
Factor-Augmented Regularized Model for Hazard Regression Pierre Bayle Jianqing Fan 21 4 0 03 Oct 2022
Are Latent Factor Regression and Sparse Regression Adequate? Jianqing Fan Zhipeng Lou Mengxin Yu CML 41 22 0 02 Mar 2022
Modelling matrix time series via a tensor CP-decomposition Jinyuan Chang Jingjing He Lin Yang Q. Yao AI4TS 33 29 0 31 Dec 2021
Subspace Change-Point Detection via Low-Rank Matrix Factorisation Euan T. McGonigle Hankui Peng 36 1 0 08 Oct 2021
Inference on the maximal rank of time-varying covariance matrices using high-frequency data M. Reiß Lars Winkelmann 15 4 0 01 Oct 2021
Wavelet eigenvalue regression in high dimensions P. Abry B. C. Boniece G. Didier H. Wendt 22 4 0 09 Aug 2021
Selecting the number of components in PCA via random signflips David Hong Yueqi Sheng Edgar Dobriban 11 15 0 05 Dec 2020
Statistical Inference for High-Dimensional Matrix-Variate Factor Model Elynn Y. Chen Jianqing Fan 32 63 0 07 Jan 2020
Factor Models for High-Dimensional Tensor Time Series Rong Chen Dan Yang Cun-Hui Zhang AI4TS 21 90 0 18 May 2019
Improved Inference on the Rank of a Matrix Qihui Chen Z. Fang 11 25 0 06 Dec 2018
Robust high dimensional factor models with applications to statistical machine learning Jianqing Fan Kaizheng Wang Yiqiao Zhong Ziwei Zhu 24 53 0 12 Aug 2018
Embracing the Blessing of Dimensionality in Factor Models Quefeng Li Guang Cheng Jianqing Fan Yuyan Wang 19 34 0 25 Oct 2016
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case Johannes Heiny T. Mikosch 23 23 0 24 Aug 2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series Richard A. Davis Johannes Heiny T. Mikosch Xiao-Yi Xie 14 25 0 26 Apr 2016
Sufficient Forecasting Using Factor Models Jianqing Fan Lingzhou Xue Jiawei Yao AI4TS 42 76 0 27 May 2015
Challenges of Big Data Analysis Jianqing Fan Fang Han Han Liu 71 1,278 0 07 Aug 2013
Two sample tests for high-dimensional covariance matrices Jun Yu Li Songxi Chen 71 224 0 05 Jun 2012
Estimation of the Number of Spikes, Possibly Equal, in the High-Dimensional Case Damien Passemier Jianfeng Yao 47 38 0 06 Oct 2011