Fitting dynamic factor models to non-stationary time series

The Algebraic Eigenvalue Problem

E. I., J. H. Wilkinson · Mathematics of Computation · 1966 · 5.2K citations

Spectral Theory, Algebraic Method, Matrix Theory +2

Time Series: Data Analysis and Theory.

L. H. Koopmans, David R. Brillinger · Journal of the American Statistical Association · 1976 · 2.7K citations

Engineering, Complex Function Theory, Statistical Signal Processing +16

The Generalized Dynamic-Factor Model: Identification and Estimation

Mario Forni, Marc Hallin, Marco Lippi et al. · The Review of Economics and Statistics · 2000 · 1.7K citations · Full text

Dynamic Economic Model, Economics, Latent Modeling +14

Inferential Theory for Factor Models of Large Dimensions

Jushan Bai · Econometrica · 2003 · 1.7K citations

Inferential Theory, Economics, Latent Modeling +15

Time Series: Data Analysis and Theory.

W. D. Ray, David R. Brillinger · Journal of the Royal Statistical Society Series A (General) · 1982 · 1.4K citations

Engineering, Data Science, Financial Time Series Analysis +7