Factor Modeling for High‐Dimensional Time Series

Abstract

This article investigates the analysis of high‐dimensional time series via factor modeling, with a focus on the methodological and computational aspects of estimating factor models. In particular, we review various estimation methods for the factor loadings and factor process, covering time‐ and frequency‐domain, likelihood‐ and principle‐component‐based procedures. Moreover, determination of the number of factors is briefly discussed.