Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
This article proposes a new approach to modeling high-dimensional time series by treating a $p$-dimensional time series as a nonsingular linear transformation of certain common factors and idiosyncratic components. Unlike the approximate factor models, we assume that the factors capture all the non-trivial dynamics of the data, but the cross-sectional …