论文标题
高维动态因素模型：选择性调查和未来研究的线条
High-dimensional dynamic factor models: a selective survey and lines of future research
论文作者
论文摘要
详细介绍了高维动态因子模型：主要假设及其动机，主要结果，插图通过基本示例。特别是，讨论了单一ARMA模型在高维动态因素模型的理论和应用中的作用。该论文的重点是模型类及其结构理论，而不是狭窄意义上的估计。我们的目标不是全面的调查。相反，我们试图指出尚未充分发展的有希望的研究和应用。
High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed.The emphasis of the paper is on model classes and their structure theory, rather than on estimation in the narrow sense. Our aim is not a comprehensive survey. Rather we try to point out promising lines of research and applications that have not yet been sufficiently developed.
