A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
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Publication:6581300
DOI10.1007/S00362-023-01504-2zbMATH Open1541.62238MaRDI QIDQ6581300
Céline Lévy-Leduc, Valdério Anselmo Reisen, Pascal Bondon, Edson Zambon Monte
Publication date: 30 July 2024
Published in: Statistical Papers (Search for Journal in Brave)
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)
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