most citedEstimation for Latent Factor Models for High-Dimensional Time Series

4 citations · 4 across the 1 of their papers we have counts for

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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…