Sufficient forecasting using factor models

DOI10.1016/j.jeconom.2017.08.009zbMath1377.62185arXiv1505.07414OpenAlexW3121936541WikidataQ55020312 ScholiaQ55020312MaRDI QIDQ75240

Jiawei Yao, Jianqing Fan, Lingzhou Xue, Jiawei Yao, Jianqing Fan

Publication date: December 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.07414

zbMATH Keywords

asymptotic propertiesprincipal component analysisforecastingfactor modelsliced inverse regressionnonparametric forecastinglearning indices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25)

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