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Simultaneous multiple change-point and factor analysis for high-dimensional time series

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Cited by:

  1. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
  2. Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
  3. Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
  4. Anastasiou, Andreas & Cribben, Ivor & Fryzlewicz, Piotr, 2022. "Cross-covariance isolate detect: a new change-point method for estimating dynamic functional connectivity," LSE Research Online Documents on Economics 112148, London School of Economics and Political Science, LSE Library.
  5. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
  6. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
  7. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
  8. Matteo Barigozzi, 2022. "Asymptotic Theory of Principal Component Analysis for High-Dimensional Time Series Data under a Factor Structure," Papers 2211.01921, arXiv.org, revised Jul 2025.
  9. Casini, Alessandro & Perron, Pierre, 2024. "Change-point analysis of time series with evolutionary spectra," Journal of Econometrics, Elsevier, vol. 242(2).
  10. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 238(2).
  11. Jiangtao Duan & Jushan Bai & Xu Han, 2025. "Singularity-Based Consistent QML Estimation of Multiple Breakpoints in High-Dimensional Factor Models," Papers 2503.06645, arXiv.org.
  12. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
  13. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
  14. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
  15. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
  16. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
  17. Fernandez, Julian, 2020. "Exchange Rate Uncertainty and the Interest Rate Parity," MPRA Paper 116010, University Library of Munich, Germany, revised 2022.
  18. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
  19. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
  20. Qing Yang & Yu-Ning Li & Yi Zhang, 2020. "Change point detection for nonparametric regression under strongly mixing process," Statistical Papers, Springer, vol. 61(4), pages 1465-1506, August.
  21. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
  22. Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
  23. Sabri Boubaker & Zhenya Liu & Yifan Zhang, 2025. "Forecasting oil commodity spot price in a data-rich environment," Annals of Operations Research, Springer, vol. 345(2), pages 685-702, February.
  24. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
  25. Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
  26. Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
  27. Mengjia Yu & Xiaohui Chen, 2021. "Finite sample change point inference and identification for high‐dimensional mean vectors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(2), pages 247-270, April.
  28. Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
  29. Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
  30. Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2025. "Improving estimation of portfolio risk using new statistical factors," Annals of Operations Research, Springer, vol. 346(1), pages 245-261, March.
  31. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
  32. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "Reprint of: The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 244(2).
  33. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
  34. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
  35. Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
  36. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
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