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07/19/2023
Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models
This paper investigates the properties of Quasi Maximum Likelihood estim...
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03/31/2023
Robust estimation of large factor models for tensor-valued time series
In this paper, we consider inference in the context of a factor model fo...
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03/21/2023
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
We review Quasi Maximum Likelihood estimation of factor models for high-...
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01/29/2023
Multidimensional dynamic factor models
This paper generalises dynamic factor models for multidimensional depend...
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01/27/2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
The package fnets for the R language implements the suite of methodologi...
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01/16/2022
FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series
We propose fnets, a methodology for network estimation and forecasting o...
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04/05/2021
An algebraic estimator for large spectral density matrices
We propose a new estimator of high-dimensional spectral density matrices...
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10/09/2019
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
This paper studies Quasi Maximum Likelihood estimation of dynamic factor...
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11/01/2018
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
A high-dimensional r-factor model for an n-dimensional vector time serie...
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06/10/2018
