A robust procedure to build dynamic factor models with cluster structure

DOI10.1016/J.JECONOM.2020.01.004MaRDI QIDQ2305973zbMATH OpenOpenAlexFDO

Authors Pedro Galeano, Daniel Peña, Andres M. Alonso

Publication date 20 March 2020

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.004

zbMATH Keywords

clustering time seriesdependency measuresmultivariate additive outliersmultivariate level shiftsprincipal components

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Outliers in dynamic factor models
• A novel algorithm for dynamic factor analysis
• Nonstationary dynamic factor analysis
• Dynamic Factor Models
• Regime-switching factor models for high-dimensional time series

Cites work

• A canonical analysis of multiple time series
• A simple multiway ANOVA for functional data
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Clustering time series by linear dependency
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Determining the Number of Factors in Approximate Factor Models
• Dynamic Factor Models
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factors in the presence of blocks
• Eigenvalue ratio test for the number of factors
• Estimation of panel data models with parameter heterogeneity when group membership is unknown
• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• Grouped patterns of heterogeneity in panel data
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• Identifying a Simplifying Structure in Time Series
• Identifying latent structures in panel data
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Modeling Multiple Times Series with Applications
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Outliers in dynamic factor models
• Outliers in multivariate time series
• Silhouettes: a graphical aid to the interpretation and validation of cluster analysis
• Testing for Common Trends
• The control of the false discovery rate in multiple testing under dependency.
• The Generalized Dynamic Factor Model

Cited in

(11)

• Cophenetic-based fuzzy clustering of time series by linear dependency
• Rejoinder on ``Data science, big data and statistics
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Comment on “Factor Models for High-Dimensional Tensor Time Series”
• A testing approach to clustering scalar time series
• Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
• Robust forecasting of multiple time series with one-sided dynamic principal components
• Selecting the number of factors in multi-variate time series
• Robust estimation of functional factor models with functional pairwise spatial signs
• Tail-robust factor modelling of vector and tensor time series in high dimensions
• MCA: high-dimensional modal component analysis towards the mode

Describes a project that uses

Uses Software

• Silhouettes

This page was built for publication: A robust procedure to build dynamic factor models with cluster structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2305973)