Consistency of generalized dynamic principal components in dynamic factor models

DOI10.1016/J.SPL.2019.06.012MaRDI QIDQ2273706zbMATH OpenOpenAlexFDO

Authors Ezequiel Smucler

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Cited in

(4)

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

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