FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
FNETS：高维时间序列的因子调整网络估计与预测
–We propose FNETS, a methodology for network estimation and forecasting of high-dimensional time series exhibiting strong serial- and cross-sectional correlations. We operate under a factor-adjusted vector autoregressive (VAR) model which, after accounting for pervasive co-movements of the variables by common factors, models the remaining idiosyncratic dynamic dependence between the variables as a sparse VAR process. Network estimation of FNETS consists of three steps: (i)…