Error-correction factor models for high-dimensional cointegrated time series (Q5134485)
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scientific article; zbMATH DE number 7274753
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| English | Error-correction factor models for high-dimensional cointegrated time series |
scientific article; zbMATH DE number 7274753 |
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Error-Correction Factor Models for High-dimensional Cointegrated Time Series (English)
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16 November 2020
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cointegration
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eigenanalysis
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factor models
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nonstationary processes
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vector time series
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0.7944204211235046
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0.7899843454360962
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0.7789907455444336
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0.765406608581543
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0.7600885629653931
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