Robust factor modelling for high-dimensional time series: an application to air pollution data
DOI10.1016/J.AMC.2018.09.062zbMATH Open1428.86027OpenAlexW2896525904WikidataQ128891447 ScholiaQ128891447MaRDI QIDQ2008477FDOQ2008477
Higor Henrique Aranda Cotta, Céline Lévy-Leduc, Pascal Bondon, Edson Zambon Monte, Flavio Augusto Ziegelmann, Adriano Marcio Sgrancio, Valdério Anselmo Reisen
Publication date: 25 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://hal-agroparistech.archives-ouvertes.fr/hal-02902032/document
Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Geostatistics (86A32)
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Cited In (4)
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
- Robust factor models for high-dimensional time series and their forecasting
- Principal component analysis with autocorrelated data
- Sparse regression for low-dimensional time-dynamic varying coefficient models with application to air quality data
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