In factor models, noises are often assumed to be weakly correlated; otherwise, separation of factors from noises becomes difficult, if not impossible. This paper will address this problem. We utili...

中文翻译：

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具有可能强相关噪声的时变因子模型

在因子模型中，通常假设噪声是弱相关的；否则，即使不是不可能，也很难将因素与噪声分离。本文将解决这个问题。我们利用...