Nonparametric estimation of functional dynamic factor model

DOI10.1080/10485252.2022.2080825MaRDI QIDQ5051331zbMATH OpenOpenAlexFDO

Authors

Publication date 23 November 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.01831

zbMATH Keywords

\(I(1)\) functional processfunctional cointegrationfunctional dynamic factor modelfunctional time serieslong-run covariance operator

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Cites work

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• Forecasting the term structure of government bond yields
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• Linear processes in function spaces. Theory and applications
• Modeling and forecasting electricity spot prices: a functional data perspective
• Nonstationary dynamic factor analysis
• Robust depth-based estimation of the functional autoregressive model
• Robust forecasting of mortality and fertility rates: a functional data approach
• Test of independence for functional data
• Testing for Common Trends
• Testing stationarity of functional time series
• The Generalized Dynamic Factor Model

Cited in

(7)

• Nonlinear factor models for network and panel data
• Dynamic semi-parametric factor model for functional expectiles
• A journey from univariate to multivariate functional time series: a comprehensive review
• Fractionally integrated curve time series with cointegration
• Modelling particle number size distribution: a continuous approach
• Change-point detection in functional time series: applications to age-specific mortality and fertility
• Forecasting high-dimensional functional time series with dual-factor structures

Describes a project that uses

Uses Software

• FAMT
• fda (R)

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