High Dimensional Time Series Analysis Tools
Description
Procedures for high-dimensional time series analysis including factor analysis
proposed by Lam and Yao (2012) and Chang, Guo and Yao (2015)
,martingale difference test proposed by
Chang, Jiang and Shao (2022) in press,principal
component analysis proposed by Chang, Guo and Yao (2018) ,
identifying cointegration proposed by Zhang, Robinson and Yao (2019)
, unit root test proposed by Chang, Cheng and Yao (2021)
, white noise test proposed by Chang, Yao and Zhou (2017)
, CP-decomposition for high-dimensional matrix time
series proposed by Chang, He, Yang and Yao(2023) and
Chang, Du, Huang and Yao (2024+), and Statistical inference for high-dimensional
spectral density matrix porposed by Chang, Jiang, McElroy and Shao (2023)
.