Regime-switching factor models for high-dimensional time series
نویسندگان
چکیده
منابع مشابه
Regime-Switching Factor Models for High-Dimensional Time Series
We consider a factor model for high-dimensional time series with regime-switching dynamics. The switching is assumed to be driven by an unobserved Markov chain; the mean, factor loading matrix and covariance matrix of the noise process are different among the regimes. The model is an extension of the traditional factor models for time series and provides flexibility in dealing with real applica...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2017
ISSN: 1017-0405
DOI: 10.5705/ss.2014.265t