Consistency of generalized dynamic principal components in dynamic factor models

DOI10.1016/J.SPL.2019.06.012zbMATH Open1420.62264arXiv1710.11286OpenAlexW2963530433MaRDI QIDQ2273706FDOQ2273706

Authors: Ezequiel Smucler 

Publication date: 25 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We study the theoretical properties of the generalized dynamic principal components introduced in Pe~na and Yohai (2016). In particular, we prove that when the data follows a dynamic factor model, the reconstruction provided by the procedure converges in mean square to the common part of the model as the number of series and periods diverge to infinity. The results of a simulation study support our findings.

Full work available at URL: https://arxiv.org/abs/1710.11286

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zbMATH Keywords

dimension reductionhigh-dimensional time seriesdynamic principal components

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Nonstationary dynamic factor analysis
• Title not available (Why is that?)
• Forecasting multiple time series with one-sided dynamic principal components

Cited In (4)

• Estimation of dynamic models on the factors of marginal principal component analysis
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• Hidden factor estimation in dynamic generalized factor analysis models
• The generalized dynamic factor model: consistency and rates

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