Bias correction for time series factor models
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Publication:4960630
DOI10.1080/00949655.2018.1442467OpenAlexW2790692032MaRDI QIDQ4960630
Guadalupe Bastos, Carolina García-Martos, Andrés M. Alonso
Publication date: 23 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2018.1442467
autoregressive modelsdimensionality reductionfactor modelpersistent processsmall sample bias correction
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