Estimation of latent factors for high-dimensional time series
高维时间序列潜在因子的估计
This paper deals with the dimension reduction of high-dimensional time series based on a lower-dimensional factor process. In particular, we allow the dimension of time series N to be as large as, or even larger than, the length of observed time series T. The estimation of the factor loading matrix and the factor process itself is carried out via an eigenanalysis of a N×N non-negative definite matrix. We show that when all the factors are strong in the sense that the norm of…