Periodic dynamic factor models: estimation approaches and applications
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Publication:1711582
DOI10.1214/18-EJS1518zbMath1409.62167OpenAlexW2905355178WikidataQ128718881 ScholiaQ128718881MaRDI QIDQ1711582
Publication date: 18 January 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1545123627
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)
Related Items (3)
Two sample tests for high-dimensional autocovariances ⋮ Sparse vector heterogeneous autoregressive modeling for realized volatility ⋮ Robust test for structural instability in dynamic factor models
Uses Software
Cites Work
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