Factor models for high‐dimensional functional time series II: Estimation and forecasting
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Publication:6135372
DOI10.1111/jtsa.12675OpenAlexW4311715162MaRDI QIDQ6135372
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://doi.org/10.1111/jtsa.12675
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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