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math.ST2012★ 62 cited
Factor modeling for high-dimensional time series: Inference for the number of factors
Clifford Lam, Qiwei Yao
This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense…
math.ST2010★ 4 cited
Estimation for Latent Factor Models for High-Dimensional Time Series
Clifford Lam, Qiwei Yao, Neil Bathia
This paper deals with the dimension reduction for high-dimensional time series based on common factors. In particular we allow the dimension of time series to be as large as, o…