Consistency of generalized dynamic principal components in dynamic factor models
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Publication:2273706
DOI10.1016/j.spl.2019.06.012zbMath1420.62264arXiv1710.11286OpenAlexW2963530433MaRDI QIDQ2273706
Publication date: 25 September 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.11286
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Nonstationary dynamic factor analysis
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting Multiple Time Series With One-Sided Dynamic Principal Components
- Determining the Number of Factors in Approximate Factor Models
- The Generalized Dynamic Factor Model
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