92 citations · 185 across the 21 of their papers we have counts for
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stat.ME2018★ 31 cited
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…