Factor modeling of multivariate time series: a frequency components approach

DOI10.1016/j.jmva.2023.105202OpenAlexW4380146297MaRDI QIDQ6168122

Raanju R. Sundararajan

Publication date: 8 August 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105202

zbMATH Keywords

dimension reductionmultivariate time seriesfactor modelspectral matrixfMRI time seriesresting-state network

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Multivariate analysis (62Hxx)

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