Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin...

Abstract. Factor model methods recently have become extremely popular in the theory andpractice of large panels of time series data. Those methods rely on various factor models whichall are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced inForni, Hallin, Lippi and...

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We argue that all identification schemes employed in SVAR analysis can be easily adapted in dynamic factor models. Moreover, the “problem of fundamentalness”, which is intractable in structural...

High-dimensional time series may well be the most common type of dataset in the socalled“big data” revolution, and have entered current practice in many areas, includingmeteorology, genomics, chemometrics, connectomics, complex physics simulations, biologicaland environmental research,...

A new multivariate concept of quantile, based on a directional version of Koenker and Bassett’s traditional regression quantiles, is introduced for multivariate location and multiple-output regression problems. In their empirical version, those quantiles can be computed efficiently via linear...

The likelihood ratio test for m-sample homogeneity of covariance is notoriously sensitive to the violations of Gaussian assumptions. Its asymptotic behavior under non-Gaussian densities has been the subject of an abundant literature. In a recent paper, Yanagihara et al. (2005) show that the...

This paper provides optimal testing procedures for the m-sample null hypothesis of Common Principal Components (CPC) under possibly non Gaussian and heterogenous elliptical densities. We first establish, under very mild assumptions that do not require finite moments of order four, the local...

In this paper we present an alternative method for the spectral analysis of a strictly stationary time series {Yt}t2Z. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the independence copula. This object is called copula...

This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the convergence, under the null hypothesis and the alternative, of the log ratio...