Estimation of dynamic models on the factors of marginal principal component analysis

DOI10.1080/02331888.2010.541603zbMath1291.62168OpenAlexW2020132136MaRDI QIDQ5402583

Nathanaël Mayo

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2010.541603

zbMATH Keywords

PCAdynamic factorhigh-dimensional time seriesestimated parameters

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• The effect of measurement error
• Nonnegative Matrix Factorization with the Itakura-Saito Divergence: With Application to Music Analysis
• Asymptotic Statistics

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