## Factor Models for High-Dimensional Time Series and Spatio-Temporal Data

*06 Aug 2019 12:29*

What it says. The implied linear model here is often substantive nonsense (e.g., in meteorological data), but that's not the point...

See also: Factor Models; Spatio-Temporal Statistics; Time Series

- To read:
- Jushan Bai and Kunpeng Li, "Statistical analysis of factor models
of high dimension", Annals
of Statistics
**40**(2012): 436--465 - Carlos M. Carvalho and Mike West, "Dynamic matrix-variate graphical models", Bayesian Analysis
**2**(2007): 69--97 [Read long enough ago that I need to re-read it...] - Ngai Hang Chan Ye Lu Chun Yip Yau, "Factor Modelling for High‐Dimensional Time Series: Inference and Model Selection", Journal of Time Series Analysis
**38**(2017): 285--307 - Jinyuan Chang, Bin Guo, Qiwei Yao, "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity", Journal of Econometrics
**189**(2015): 297--312, arxiv:1310.1990 - Zhaoxing Gao, Ruey S. Tsay
- "Structural-Factor Modeling of High-Dimensional Time Series: Another Look at Factor Models with Diverging Eigenvalues", arxiv:1808.07932
- "A Structural-Factor Approach to Modeling High-Dimensional Time Series and Space-Time Data", Journal of Time Series Analysis
**40**(2019): 343--362, arxiv:1808.06518

- Clifford Lam and Qiwei Yao, "Factor modeling for high-dimensional time series: Inference for the number of factors", Annals of Statistics
**40**(2012): 694--726 - Emanuel Moench, Serena Ng, Simon Potter, "Dynamic Hierarchical Factor Models",
Review of Economics
and Statistics
**95**(2013): 1811--1817