Factor Modelling for High-Dimensional Time Series

Released on by Ngai Hang Chan
preview-18

  • Factor Modelling for High-Dimensional Time Series Book Detail

  • Author : Ngai Hang Chan
  • Release Date : 2017
  • Publisher :
  • Genre :
  • Pages : 0
  • ISBN 13 :
  • File Size : 35,35 MB
DOWNLOAD BOOK

Factor Modelling for High-Dimensional Time Series by Ngai Hang Chan PDF Summary

Book Description: Analysis of high-dimensional time series data is of increasing interest among different fields. This article studies high-dimensional time series from a dimension reduction perspective using factor modelling. Statistical inference is conducted using eigen-analysis of a certain non-negative definite matrix related to autocovariance matrices of the time series, which is applicable to fixed or increasing dimension. When the dimension goes to infinity, the rate of convergence and limiting distributions of estimated factors are established. Using the limiting distributions of estimated factors, a high-dimensional final prediction error criterion is proposed to select the number of factors. Asymptotic properties of the criterion are illustrated by simulation studies and real applications.

Disclaimer: www.yourbookbest.com does not own Factor Modelling for High-Dimensional Time Series books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Large Dimensional Factor Analysis

Large Dimensional Factor Analysis

File Size : 75,75 MB
Total View : 2068 Views
DOWNLOAD

Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implicati