Most standard statistical methods treat numerical data as if they were real (infinitenumber- of-decimal-places) observations. The issue of quantization or digital resolution is recognized by engineers and metrologists, but is largely ignored by statisticians and can render standard statistical...

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...