Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a low-dimensional version (via series approximation) is assumed for the latent functional factors. We extend the classic principal component …