Robust factor modelling for high-dimensional time series: an application to air pollution data
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Publication:2008477
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Cites work
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
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- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Matrix Analysis
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- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- The relationship between node degree and dissipation rate in networks of diffusively coupled oscillators and its significance for pancreatic beta cells
Cited in
(5)- 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
- Robust projected principal component analysis for large-dimensional semiparametric factor modeling
- Sparse regression for low-dimensional time-dynamic varying coefficient models with application to air quality data
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