Functional dynamic factor models with application to yield curve forecasting
Publication:714342
DOI10.1214/12-AOAS551zbMath1454.62302arXiv1209.6172OpenAlexW2029865151MaRDI QIDQ714342
Jianhua Z. Huang, Haipeng Shen, Spencer Hays
Publication date: 21 October 2012
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.6172
cross-validationexpectation maximization algorithmfunctional data analysisnatural cubic splinesroughness penalty
Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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