Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implicati
High-dimensional data appear in many fields, and their analysis has become increasingly important in modern statistics. However, it has long been observed that
This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econ
This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. We derive an estimator for the number o
Latent factor analysis models are an effective type of machine learning model for addressing high-dimensional and sparse matrices, which are encountered in many