Dynamic principal component analysis with missing values

DOI10.1080/02664763.2019.1699910MaRDI QIDQ5861402zbMATH OpenOpenAlexFDO

Authors Junhyeon Kwon, Hee-Seok Oh, Yaeji Lim

Publication date 1 March 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1699910

zbMATH Keywords

dynamic factor modeldynamic principal component analysisfrequency domain principal component analysismissing problemspectral density matrix

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Detecting Common Signals in Multiple Time Series Using the Spectral Envelope
• Determining the Number of Factors in Approximate Factor Models
• Dynamic functional principal components
• Fitting dynamic factor models to non-stationary time series
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Maximum likelihood estimation for dynamic factor models with missing data
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Practical approaches to principal component analysis in the presence of missing values
• Time series analysis by state space methods.

Cited in

(5)

• Principal component analysis with interval imputed missing values
• scientific article; zbMATH DE number 6422214 (Why is no real title available?)
• \kappa -Circulant Maximum Variance Bases
• Dynamic principal component analysis from a global perspective
• An application of DPCA to oil data for CBM modeling

Describes a project that uses

Uses Software

• freqdom.fda

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