Robustness Comparison of the Peña–Box Model and the Factor Model to Extract Useful Predictors

DOI10.1080/03610921003624890zbMath1220.62079OpenAlexW2105488406MaRDI QIDQ3006291

Yu-Pin Hu, Chen-Yu Li

Publication date: 10 June 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610921003624890

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Nonstationary dynamic factor analysis
• Dimension reduction in time series and the dynamic factor model
• Identifying a Simplifying Structure in Time Series
• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• On The Peña–Box Model

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