Regime-switching factor models for high-dimensional time series (Q2828608)
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scientific article; zbMATH DE number 6643452
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime-switching factor models for high-dimensional time series |
scientific article; zbMATH DE number 6643452 |
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Regime-switching factor models for high-dimensional time series (English)
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26 October 2016
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factor model
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hidden Markov process
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high-dimensional time series
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nonstationary process
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regime switch
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Viterbi algorithm
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