Fitting dynamic factor models to non-stationary time series (Q737945)

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Fitting dynamic factor models to non-stationary time series
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    Statements

    title
    Fitting dynamic factor models to non-stationary time series (English)
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    author
    Michael Eichler
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    Giovanni Motta
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    Rainer von Sachs
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    publication date
    12 August 2016
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    zbMATH Keywords
    approximate factor models
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    local stationarity
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    principal components
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62M10
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    62M15
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    62H25
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    zbMATH DE Number
    6616565
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    OpenAlex ID
    W2015267372
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