Sparsity-induced weak factor models, (Adaptive) SOFAR estimator, Estimation error bound, Estimating diverging exponents, Interpreting factors, Group factor structure.
Approximate Factor Models, Debiased SOFAR Estimator, Multiple Testing, FDR and Power, Re-Sparsification
Nonlinear regression model, Integrated time series, Quantile regression
Macroeconomic forecasting, Folded-concave penalty, Ultrahigh-dimensional time series, Mixed data sampling (MIDAS), Portfolio selection
Regularization parameter selection; Cross-validation; Forecasting; Penalized Regression; High-dimensional time series model
Reproducibility, Power, Big Data, Interpretable Forecasting, Stability, Latent Factors, Model-X Knockoffs, Large-Scale Inference and FDR, Scalability, Intertwined Probabilistic Factors Decoupling, Lasso and Random Forest