Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series

DOI10.1111/ectj.12024OpenAlexW2099577628MaRDI QIDQ5093233

Song Song, Wolfgang Karl Härdle, Ya'acov Ritov

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12024

zbMATH Keywords

seasonalityspectral analysisgroup Lassoperiodicfactor modelasymptotic inferencesemi-parametric modelweather

Mathematics Subject Classification ID

Statistics (62-XX)

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