Multivariate modelling of long memory processes with common components

DOI10.1016/j.csda.2006.12.010zbMath1452.62666OpenAlexW2086728777MaRDI QIDQ1020895

Claudio Morana

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.12.010

zbMATH Keywords

long memoryfactor modelprincipal components analysispermanent-transitory decomposition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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