Periodic dynamic factor models: estimation approaches and applications

DOI10.1214/18-EJS1518zbMath1409.62167MaRDI QIDQ1711582

Peng Zhang

Publication date: 18 January 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1545123627

zbMATH Keywords

dimension reduction; dynamic factor model; adaptive Lasso; periodic vector autoregressive (PVAR) model

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

Uses Software

• R
• astsa
• perARMA