Robust factor modelling for high-dimensional time series: an application to air pollution data

DOI10.1016/j.amc.2018.09.062zbMath1428.86027OpenAlexW2896525904WikidataQ128891447 ScholiaQ128891447MaRDI QIDQ2008477

Higor Henrique Aranda Cotta, Pascal Bondon, Edson Zambon Monte, Flávio Augusto Ziegelmann, Adriano Marcio Sgrancio, Valdério Anselmo Reisen, Céline Lévy-Leduc

Publication date: 25 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://hal-agroparistech.archives-ouvertes.fr/hal-02902032/document

zbMATH Keywords

robustnesstime serieseigenvaluesair pollutionfactor analysisreduced rank

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Geostatistics (86A32)

Related Items (2)

Principal component analysis with autocorrelated data ⋮ Robust factor models for high-dimensional time series and their forecasting

Cites Work

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