hl.factor.number

Estimates the number of factors by minimising an information criterion over sub-samples of the data.
Currently the three information criteria proposed in Hallin and Liška (2007) (<code>ic.op = 1, 2</code> or <code>3</code>)
and their variations with logarithm taken on the cost (<code>ic.op = 4, 5</code> or <code>6</code>) are implemented,
with <code>ic.op = 5</code> recommended as a default choice based on numerical experiments.

internal

Implements methods for network estimation and forecasting of high-dimensional time series
exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model.
See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and
Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.

Haeran Cho

fnets

Factor-Adjusted Network Estimation and Forecasting for
High-Dimensional Time Series

Matteo Barigozzi

Dom Owens

hl.factor.number function

<dl><dt>x</dt>
<dd>input time series matrix, with each row representing a variable</dd>
<dt>q.max</dt>
<dd>maximum number of factors; if <code>q.max = NULL</code>, a default value is selected as <code>min(50, floor(sqrt(min(dim(x)[2] - 1, dim(x)[1]))))</code></dd>
<dt>mm</dt>
<dd>a positive integer specifying the kernel bandwidth for dynamic PCA; by default, it is set to <code>floor(4 *(dim(x)[2]/log(dim(x)[2]))^(1/3)))</code></dd>
<dt>center</dt>
<dd>whether to de-mean the input <code>x</code> row-wise</dd></dl>

Arguments

Factor number estimator of Hallin and Liška (2007) — hl.factor.number

<dl>

<dt>x</dt>
<dd>input time series matrix, with each row representing a variable</dd>


<dt>q.max</dt>
<dd>maximum number of factors; if <code>q.max = NULL</code>, a default value is selected as <code>min(50, floor(sqrt(min(dim(x)[2] - 1, dim(x)[1]))))</code></dd>


<dt>mm</dt>
<dd>a positive integer specifying the kernel bandwidth for dynamic PCA; by default, it is set to <code>floor(4 *(dim(x)[2]/log(dim(x)[2]))^(1/3)))</code></dd>


<dt>center</dt>
<dd>whether to de-mean the input <code>x</code> row-wise</dd>

</dl>

hl.factor.number: Factor number estimator of Hallin and Liška (2007)

Description

Usage

Value

Arguments

Details

References