13 citations · 13 across the 1 of their papers we have counts for
Showing stat.MEShow all
3 papers · 1 filter
stat.ME2020
Modeling High-Dimensional Unit-Root Time Series
Zhaoxing Gao, Ruey S. Tsay
This paper proposes a new procedure to build factor models for high-dimensional unit-root time series by postulating that a -dimensional unit-root process is a nonsingular linea…
stat.ME2018
Modeling High-Dimensional Time Series: A Factor Model with Dynamically Dependent Factors and Diverging Eigenvalues
Zhaoxing Gao, Ruey S. Tsay
This article proposes a new approach to modeling high-dimensional time series by treating a -dimensional time series as a nonsingular linear transformation of certain common fac…
stat.ME2018
A Structural-Factor Approach to Modeling High-Dimensional Time Series and Space-Time Data
Zhaoxing Gao, Ruey S Tsay
This paper considers a structural-factor approach to modeling high-dimensional time series and space-time data by decomposing individual series into trend, seasonal, and irregular…