3 problems

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Equivalence of PND definitions for infinite-dimensional rank-deficient processes
Let $(x_{it}: i\in\mathbb N, t\in\mathbb Z)$ be an infinite-dimensional rank-deficient purely non-deterministic process such that $\operatorname{rk} f_x^n=q<\infty$ almost everywhe…
Conjectureopendynamic-factor-models stochastic-processes time-series-analysisarXiv posted 2 days ago
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Effect of estimated loadings on the consistency of the idiosyncratic covariance estimator
Preliminary-estimation conjecture. Replacing the unknown idiosyncratic components by $\widehat{\mathbf e}_{nt}^*$ in the computation of $\widehat{\bm\Gamma}_n^{e*}$ should not affe…
Conjectureopenasymptotic-consistency covariance-estimation dynamic-factor-modelsarXiv posted 2 days ago
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Consistency of the generalized least-squares loadings estimator
Consistency conjecture. A result similar to the consistency result in Proposition … .
Conjectureopenasymptotic-consistency dynamic-factor-models generalized-least-squaresarXiv posted 2 days ago

Equivalence of PND definitions for infinite-dimensional rank-deficient processes