Factor Modeling for High Dimensional Time Series

被引：0
|
作者：
Lam, Clifford [1 ]
Yao, Qiwei [1 ]
Bathia, Neil [1 ]
机构：
[1] London Sch Econ, London, England
来源：
RECENT ADVANCES IN FUNCTIONAL DATA ANALYSIS AND RELATED TOPICS | 2011年
关键词：
DYNAMIC-FACTOR MODEL; ARBITRAGE; NUMBER;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We briefly compare an econometric factor model and a statistical factor model, the latter being to capture the linear dynamic structure of the data y(t) only. We propose a method for decomposing {y(t)} into a common component and a white noise in the sense of a statistical factor model, together with an eye-ball test for finding the number of factors. Rates of convergence for various estimators are spelt out explicitly.
引用
收藏
页码：203 / 207
页数：5
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