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Rank and Factor Loadings Estimation in Time Series Tensor Factor Model
  by Pre-averaging

Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging

8 August 2022
Weilin Chen
Clifford Lam
ArXivPDFHTML

Papers citing "Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging"

2 / 2 papers shown
Title
Factor Strength Estimation in Vector and Matrix Time Series Factor
  Models
Factor Strength Estimation in Vector and Matrix Time Series Factor Models
Weilin Chen
Clifford Lam
AI4TS
38
1
0
12 May 2024
Factor modeling for high-dimensional time series: Inference for the
  number of factors
Factor modeling for high-dimensional time series: Inference for the number of factors
Clifford Lam
Q. Yao
41
476
0
04 Jun 2012
1