Factor modeling for high-dimensional time series: Inference for the number of factors (2012)

First Author: Lam C
Attributed to:  High-Dimensional Time Series, Common Factors, and Nonstationarity funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1214/12-aos970

Publication URI: http://dx.doi.org/10.1214/12-aos970

Type: Journal Article/Review

Parent Publication: The Annals of Statistics

Issue: 2