Common seasonality in multivariate time series

DOI10.5705/ss.2014.184tzbMath1356.62153OpenAlexW2519361222MaRDI QIDQ2828606

Daniel Peña, Fabio H. Nieto, Dagoberto Saboyá

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/cc563323f6d10fd147447a6045695857d8e09eda

zbMATH Keywords

multivariate time seriesdynamic common factorscommon seasonality

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Determining the number of factors in constrained factor models via Bayesian information criterion ⋮ Periodic dynamic factor models: estimation approaches and applications ⋮ On a new procedure for identifying a dynamic common factor model ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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