Related papers: Dynamic Factor Models, Cointegration, and Error Co…
We study a large-dimensional Dynamic Factor Model where: (i)~the vector of factors $\mathbf F_t$ is $I(1)$ and driven by a number of shocks that is smaller than the dimension of $\mathbf F_t$; and, (ii)~the idiosyncratic components are…
Identifying the number of factors in a high-dimensional factor model has attracted much attention in recent years and a general solution to the problem is still lacking. A promising ratio estimator based on the singular values of the lagged…
Consider the following dynamic factor model: $\mathbf{R}_t=\sum_{i=0}^q \mathbf{\Lambda}_i \mathbf{f}_{t-i}+\mathbf{e}_t,t=1,...,T$, where $\mathbf{\Lambda}_i$ is an $n\times k$ loading matrix of full rank, $\{\mathbf{f}_t\}$ are i.i.d.…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
The factor analysis model is a statistical model where a certain number of hidden random variables, called factors, affect linearly the behaviour of another set of observed random variables, with additional random noise. The main assumption…
We set up a general formalism for models of spontaneous wave function collapse with dynamics represented by a stochastic differential equation driven by general Gaussian noises, not necessarily white in time. In particular, we show that the…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
This paper addresses the fundamental task of estimating covariance matrix functions for high-dimensional functional data/functional time series. We consider two functional factor structures encompassing either functional factors with scalar…
This study offers a comprehensive reconstruction of $f(T)$ gravity model with three distinct non-linear as well as novel forms employing a hybrid scale factor to depict the expansion history of the universe starting from early decelerated…
It is well-known that the approximate factor models have the rotation indeterminacy. It has been considered that the principal component (PC) estimators estimate some rotations of the true factors and factor loadings, but the rotation…
We report the nonequilibrium dynamical phase transition (NDPT) appearing in a kinetic Ising spin system (ISS) subject to the joint application of a deterministic external field and the stochastic mutually correlated noises simultaneously. A…
This paper considers the estimation and testing of a class of locally stationary time series factor models with evolutionary temporal dynamics. In particular, the entries and the dimension of the factor loading matrix are allowed to vary…
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…
We continue the analysis of models of spontaneous wave function collapse with stochastic dynamics driven by non-white Gaussian noise. We specialize to a model in which a classical "noise" field, with specified autocorrelator, is coupled to…
The aim of the paper is to address the long time behavior of the Kuramoto model of mean-field coupled phase rotators, subject to white noise and quenched frequencies. We analyse the influence of the fluctuations of both thermal noise and…
This article proposes a new approach to modeling high-dimensional time series by treating a $p$-dimensional time series as a nonsingular linear transformation of certain common factors and idiosyncratic components. Unlike the approximate…
We prove existence and uniqueness of the solution of a stochastic shell--model. The equation is driven by an infinite dimensional fractional Brownian--motion with Hurst--parameter $H\in (1/2,1)$, and contains a non--trivial coefficient in…
We propose a dynamic multiplicative factor model for process data, which arise from complex problem-solving items, an emerging testing mode in large-scale educational assessment. The proposed model can be viewed as an extension of the…
Existence and uniqueness of a strong solution in $H^{-1}(\mathbb R^d)$ is proved for the stochastic nonlinear Fokker-Planck equation $$dX-{\rm div}(DX)dt-\Delta\beta(X)dt=X\,dW \mbox{ in }(0,T)\times\mathbb R^d,\ X(0)=x,$$ via a…
Motivated by the search for new observables in nonperturbative quantum gravity, we consider Causal Dynamical Triangulations (CDT) in 2+1 dimensions with the spatial topology of a torus. This system is of particular interest, because one can…