Factor models for high‐dimensional functional time series I: Representation results
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Publication:6135371
DOI10.1111/jtsa.12676arXiv1905.10325OpenAlexW4311715168MaRDI QIDQ6135371
Gilles Nisol, Marc Hallin, Shahin Tavakoli
Publication date: 24 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.10325
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) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)
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