Wavelet estimation for factor models with time-varying loadings

DOI10.1142/S0219691321500338zbMath1482.62115arXiv2110.04416OpenAlexW3207179500MaRDI QIDQ5063217

Daniel Peña, Chang Chiann, Duván Humberto Cataño, Unnamed Author

Publication date: 17 March 2022

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.04416

zbMATH Keywords

generalized least squareswavelet functionsfactor modelselectricity prices and loads

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to environmental and related topics (62P12) Economic time series analysis (91B84) Numerical methods for wavelets (65T60)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Transfer function models with time-varying coefficients
• Factor modeling for high-dimensional time series: inference for the number of factors
• Improved penalization for determining the number of factors in approximate factor models
• Fitting dynamic factor models to non-stationary time series
• Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
• Wavelet regression with correlated errors on a piecewise Hölder class
• Fitting time series models to nonstationary processes
• Consistent estimation of time-varying loadings in high-dimensional factor models
• On time-varying factor models: estimation and testing
• The generalized dynamic factor model consistency and rates
• Consistent factor estimation in dynamic factor models with structural instability
• Nonstationary dynamic factor analysis
• Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
• Factor Modelling for High-Dimensional Time Series: Inference and Model Selection
• LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION
• Identifying a Simplifying Structure in Time Series
• Forecasting Using Principal Components From a Large Number of Predictors
• Time-domain estimation of time-varying linear systems
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

This page was built for publication: Wavelet estimation for factor models with time-varying loadings