Generalized principal component analysis for moderately non-stationary vector time series (Q830695): Difference between revisions

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+Determining the Number of Factors in Approximate Factor Models
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+Covariance regularization by thresholding
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+A canonical analysis of multiple time series
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+Principal component analysis for second-order stationary vector time series
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+Factor modeling for high-dimensional time series: inference for the number of factors
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+Modelling multiple time series via common factors
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+Identifying a Simplifying Structure in Time Series
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+Nonstationary dynamic factor analysis
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+Testing for Common Trends
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Identifying Cointegration by Eigenanalysis
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+Publication:830695