The Effects of Disaggregation on Forecasting Nonstationary Time Series

DOI10.1002/FOR.2291zbMath1397.91512OpenAlexW1903444358MaRDI QIDQ4687509

Antonio García-Ferrer, Pilar Poncela

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.2291

zbMATH Keywords

Kalman filterstate-space modelsmultivariate time seriesdynamic factor analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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