In modern financial markets, one of the key concerns of large market participants is how to trade in significant size without creating an adverse effect on price. Solutions have included technical ...

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 ...

This article presents and compares two approaches of principal component (PC) analysis for two-dimensional functional data on a possibly irregular domain. The first approach applies the singular value ...