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Journal of the American Statistical Association Volume 117, 2022 - Issue 539
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Theory and Methods

Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues

Zhaoxing Gaoa Department of Mathematics, Lehigh University, Bethlehem, PA;;
&
Ruey S. Tsayb Booth School of Business, University of Chicago, Chicago, ILCorrespondence[email protected]
Pages 1398-1414 | Received 23 Aug 2018, Accepted 02 Dec 2020, Published online: 03 Feb 2021

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