47 citations · 50 across the 11 of their papers we have counts for
4 papers · 1 filter
AR-sieve Bootstrap for High-dimensional Time Series
Daning Bi, Han Lin Shang, Yanrong Yang +1
This paper proposes a new AR-sieve bootstrap approach to high-dimensional time series. The major challenge of classical bootstrap methods on high-dimensional time series is two-fol…
Interactive Effects Panel Data Models with General Factors and Regressors
Bin Peng, Liangjun Su, Joakim Westerlund +1
This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asympt…
Forecasting high-dimensional functional time series with dual-factor structures
Chen Tang, Han Lin Shang, Yanrong Yang +1
We propose a dual-factor model for high-dimensional functional time series (HDFTS) that considers multiple populations. The HDFTS is first decomposed into a collection of functiona…
A Forecast-driven Hierarchical Factor Model with Application to Mortality Data
Lingyu He, Fei Huang, Yanrong Yang
Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensi…