3 papers
stat.ME2026
Attribution of Spurious Factors from High-Dimensional Functional Time Series
Adam Nie, Yanrong Yang, Han Lin Shang +1
This article explores a general factor structure for high-dimensional nonstationary functional time series, encompassing a wide range of factor models studied in the existing liter…
math.ST2022
Spiked eigenvalues of high-dimensional sample autocovariance matrices: CLT and applications
Daning Bi, Xiao Han, Adam Nie +1
High-dimensional autocovariance matrices play an important role in dimension reduction for high-dimensional time series. In this article, we establish the central limit theorem (CL…
math.PR2018
A Continuous Time GARCH(p,q) Process with Delay
Adam Nie
We investigate the properties of a continuous time GARCH process as the solution to a Lévy driven stochastic functional integral equation. This process occurs as a weak limit of a…