Time Series in High Dimensions

DOI10.1142/11204zbMATH Open1446.62008OpenAlexW2970430553MaRDI QIDQ5221617

Author name not available (Why is that?)

Publication date: 2 April 2020

Full work available at URL: https://doi.org/10.1142/11204

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)

Related Items (5)

Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues ⋮ Robust factor models for high-dimensional time series and their forecasting ⋮ Constrained Factor Models for High-Dimensional Matrix-Variate Time Series ⋮ Determining the number of factors for high-dimensional time series ⋮ Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

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