Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach

DOI10.1002/for.2264zbMath1397.62235OpenAlexW1606487396MaRDI QIDQ4687351

Yongning Wang, Keshab Shrestha, Ruey S. Tsay, Johannes Ledolter

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2264

zbMATH Keywords

classificationpartial least squaresMarkov chain Monte Carloprincipal component regressionLasso regressionHilbert-Huang transform

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Economic time series analysis (91B84)

Related Items (4)

Clustering Multiple Time Series with Structural Breaks ⋮ Grouped Network Vector Autoregression ⋮ Optimal spatial aggregation of space-time models and applications ⋮ Clustering time series by linear dependency

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