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Eigen-Analysis for High-Dimensional Time Series

https://doi.org/10.2139/ssrn.4633431
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2003.10.022openalex-extracted
Estimating cross-section common stochastic trends in nonstationary panel data
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.040openalex-extracted
A spatio-temporal model of house prices in the USA
inferredcites →https://doi.org/10.1016/j.jmva.2005.08.003openalex-extracted
Eigenvalues of large sample covariance matrices of spiked population models
inferredcites →https://doi.org/10.1016/j.jspi.2013.09.005openalex-extracted
Random matrix theory in statistics: A review
inferredcites →https://doi.org/10.1016/j.spl.2006.11.007openalex-extracted
Convergence of quadratic forms with nonvanishing diagonal
inferredcites →https://doi.org/10.1017/cbo9781107588080openalex-extracted
Large Sample Covariance Matrices and High-Dimensional Data Analysis
inferredcites →https://doi.org/10.1070/sm1967v001n04abeh001994openalex-extracted
DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
inferredcites →https://doi.org/10.1080/01621459.2016.1246366openalex-extracted
ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
inferredcites →https://doi.org/10.1080/01621459.2020.1825448openalex-extracted
Estimating Number of Factors by Adjusted Eigenvalues Thresholding
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-extracted
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/j.1469-1809.1939.tb02211.xopenalex-extracted
THE SAMPLING DISTRIBUTION OF SOME STATISTICS OBTAINED FROM NON‐LINEAR EQUATIONS
inferredcites →https://doi.org/10.1111/j.1469-1809.1939.tb02212.xopenalex-extracted
ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
inferredcites →https://doi.org/10.1162/rest_a_00043openalex-extracted
Determining the Number of Factors from Empirical Distribution of Eigenvalues
inferredcites →https://doi.org/10.1214/009117905000000233openalex-extracted
Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
inferredcites →https://doi.org/10.1214/12-aos970openalex-extracted
Factor modeling for high-dimensional time series: Inference for the number of factors
inferredcites →https://doi.org/10.1214/16-aos1487openalex-extracted
Asymptotics of empirical eigenstructure for high dimensional spiked covariance
inferredcites →https://doi.org/10.1214/17-aos1616openalex-extracted
CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
inferredcites →https://doi.org/10.1214/18-aos1713openalex-extracted
Distributed estimation of principal eigenspaces
inferredcites →https://doi.org/10.1214/20-aos1995openalex-extracted
Spiked separable covariance matrices and principal components
inferredcites →https://doi.org/10.1214/aos/1009210544openalex-extracted
On the distribution of the largest eigenvalue in principal components analysis
inferredcites →https://doi.org/10.2139/ssrn.2811477openalex-extracted
CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series
inferredcites →https://doi.org/10.2307/2290201openalex-extracted
inferredcites →https://doi.org/10.3982/ecta16703openalex-extracted
Spurious Factor Analysis
inferredcites →https://doi.org/10.3982/ecta8968openalex-extracted
Eigenvalue Ratio Test for the Number of Factors
inferredcites →https://doi.org/10.4171/022-1/13openalex-extracted
High dimensional statistical inference and random matrices
inferredcites →https://doi.org/10.48550/arxiv.1711.00217openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.1905.13060openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.1909.10710openalex-extracted
Estimating Number of Factors by Adjusted Eigenvalues Thresholding
inferredcites →https://doi.org/10.48550/arxiv.math/0611589openalex-extracted
High Dimensional Statistical Inference and Random Matrices
inferredcites →https://doi.org/10.1080/01621459.1992.10475265openalex-snapshot
Modeling and Forecasting U. S. Mortality
inferredcites →https://doi.org/10.1214/18-aos1798openalex-snapshot
Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
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