{"data":{"id":"10.6084/m9.figshare.1108162.v2","type":"dois","attributes":{"doi":"10.6084/m9.figshare.1108162.v2","prefix":"10.6084","suffix":"m9.figshare.1108162.v2","identifiers":[],"alternateIdentifiers":[],"creators":[{"name":"Ng, Chi Tim","nameType":"Personal","givenName":"Chi Tim","familyName":"Ng","affiliation":[],"nameIdentifiers":[]},{"name":"Yau, Chun Yip","nameType":"Personal","givenName":"Chun Yip","familyName":"Yau","affiliation":[],"nameIdentifiers":[]},{"name":"Ngai Hang Chan","affiliation":[],"nameIdentifiers":[]}],"titles":[{"title":"Likelihood Inferences for High-Dimensional Factor Analysis of Time Series With Applications in Finance"}],"publisher":"Taylor \u0026 Francis","container":{},"publicationYear":2015,"subjects":[{"subject":"Medicine"},{"subject":"69999 Biological Sciences not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Biological sciences","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Biological sciences","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"19999 Mathematical Sciences not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Mathematics","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Mathematics","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Developmental Biology"},{"subject":"Science Policy"},{"subject":"Hematology"}],"contributors":[],"dates":[{"date":"2015-10-08","dateType":"Created"},{"date":"2016-03-07","dateType":"Updated"},{"date":"2015","dateType":"Issued"}],"language":null,"types":{"ris":"DATA","bibtex":"misc","citeproc":"dataset","schemaOrg":"Dataset","resourceType":"Dataset","resourceTypeGeneral":"Dataset"},"relatedIdentifiers":[{"relationType":"IsSupplementTo","relatedIdentifier":"10.1080/10618600.2014.937951","relatedIdentifierType":"DOI"},{"relationType":"IsIdenticalTo","relatedIdentifier":"10.6084/m9.figshare.1108162","relatedIdentifierType":"DOI"}],"relatedItems":[],"sizes":["2368193 Bytes"],"formats":[],"version":null,"rightsList":[{"rights":"Creative Commons Attribution 4.0 International","rightsUri":"https://creativecommons.org/licenses/by/4.0/legalcode","schemeUri":"https://spdx.org/licenses/","rightsIdentifier":"cc-by-4.0","rightsIdentifierScheme":"SPDX"}],"descriptions":[{"description":"This article investigates likelihood inferences for high-dimensional factor analysis of time series data. We develop a matrix decomposition technique to obtain expressions of the likelihood functions and its derivatives. With such expressions, the traditional delta method that relies heavily on score function and Hessian matrix can be extended to high-dimensional cases. We establish asymptotic theories, including consistency and asymptotic normality. Moreover, fast computational algorithms are developed for estimation. Applications to high-dimensional stock price data and portfolio analysis are discussed. The technical proofs of the asymptotic results and the computer codes are available online.","descriptionType":"Abstract"}],"geoLocations":[],"fundingReferences":[],"xml":"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","url":"https://tandf.figshare.com/articles/Likelihood_Inferences_for_High_Dimensional_Factor_Analysis_of_Time_Series_With_Applications_in_Finance/1108162/2","contentUrl":null,"metadataVersion":1,"schemaVersion":"http://datacite.org/schema/kernel-4","source":"mds","isActive":true,"state":"findable","reason":null,"viewCount":0,"viewsOverTime":[],"downloadCount":0,"downloadsOverTime":[],"referenceCount":0,"citationCount":0,"citationsOverTime":[],"partCount":0,"partOfCount":0,"versionCount":0,"versionOfCount":0,"created":"2016-01-19T04:54:35.000Z","registered":"2016-01-19T04:54:37.000Z","published":"2015","updated":"2020-09-04T22:16:58.000Z"},"relationships":{"client":{"data":{"id":"figshare.ars","type":"clients"}},"provider":{"data":{"id":"otjm","type":"providers"}},"media":{"data":{"id":"10.6084/m9.figshare.1108162.v2","type":"media"}},"references":{"data":[]},"citations":{"data":[]},"parts":{"data":[]},"partOf":{"data":[]},"versions":{"data":[]},"versionOf":{"data":[]}}}}