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stat.ME2023
Dynamic factor and VARMA models: equivalent representations, dimension reduction and nonlinear matrix equations
Shankar Bhamidi, Dhruv Patel, Vladas Pipiras
A dynamic factor model with factor series following a VAR model is shown to have a VARMA model representation. Reduced-rank structures are identified for the VAR and VM…
stat.ME2023
Correlation networks, dynamic factor models and community detection
Shankar Bhamidi, Dhruv Patel, Vladas Pipiras +1
A dynamic factor model with a mixture distribution of the loadings is introduced and studied for multivariate, possibly high-dimensional time series. The correlation matrix of the…