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The canonical decomposition of factor models: weak factors are everywhere
P. Gersing, M. Barigozzi, C. Rust, M. Deistler
arXiv:2307.10067.v2
Mar 2025
Predicting energy demand with tensor factor models
M. Banin, M. Barigozzi, L.Trapin
arXiv:2502.06213.v1
Feb 2025
Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
M. Barigozzi, L.Trapin
arXiv:2502.04112.v2
May 2025
Measuring the euro area output gap
M. Barigozzi, C. Lissona, M. Luciani
arXiv:2505.05536.v1
May 2025
Large datasets for the euro area and its member countries and the dynamic effects of the common monetary policy
M. Barigozzi, C. Lissona, L. Tonni
arXiv:2410.05082.v1
Oct 2024
codes
Moving sum procedure for multiple change point detection in large factor models
M. Barigozzi, H. Cho, L. Trapani
arXiv:2410.02918.v1
Oct 2024
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm
M. Barigozzi, M. Luciani
arXiv:1910.03821.v5
Sep 2024
Tail-robust factor modelling of vector and tensor time series in high-dimensions
M. Barigozzi, H. Cho, H. Maeng
arXiv:2407.09390.v3
Feb 2025
Statistical inference for large-dimensional tensor factor models by iterative projection
M. Barigozzi, Y. He, L. Li, L. Trapani
arXiv:2206.09800.v3 Feb 2025
Asymptotic equivalence of principal component and quasi maximum likelihood estimators in large approximate factor models
M. Barigozzi
arXiv:2307.09864.v5
Jun 2024
On estimation and inference of large approximate dynamic factor models via the principal component analysis
M. Barigozzi
arXiv:2211.01921.v3 Jul 2023
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