Factor modeling for high-dimensional time series: Inference for the number of factors

Published 2012 View Full Article

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Title
Factor modeling for high-dimensional time series: Inference for the number of factors
Authors
Keywords
-
Journal
ANNALS OF STATISTICS
Volume 40, Issue 2, Pages 694-726
Publisher
Institute of Mathematical Statistics
Online
2012-05-18
DOI
10.1214/12-aos970

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