Optimal dimension reduction for high-dimensional and functional time series

DOI10.1007/s11203-018-9172-1zbMath1450.62111OpenAlexW2767353850MaRDI QIDQ1656851

Siegfried Hörmann, Marco Lippi, Marc Hallin

Publication date: 10 August 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/260201/3/2017-039-HALLIN_HORMANN_LIPPI-optimal.pdf

zbMATH Keywords

time seriesdimension reductionprincipal componentsKarhunen-Loève expansionfunctional principal componentsdynamic principal components

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

Related Items (1)

Factor models for high‐dimensional functional time series II: Estimation and forecasting

Uses Software

• freqdom
• freqdom.fda

Cites Work

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• Fourier analysis of stationary time series in function space
• The general dynamic factor model: one-sided representation results
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Factor models in high-dimensional time series: A time-domain approach
• Dynamic Functional Principal Components
• The Generalized Dynamic Factor Model

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