Simultaneous multiple change-point and factor analysis for high-dimensional time series (2018)

First Author: Barigozzi M
Attributed to:  Change-point detection for high-dimensional time series with nonstationarities funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.jeconom.2018.05.003

Publication URI: http://dx.doi.org/10.1016/j.jeconom.2018.05.003

Type: Journal Article/Review

Parent Publication: Journal of Econometrics

Issue: 1