Nonstationary dynamic factor analysis
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Publication:2491853
DOI10.1016/j.jspi.2004.08.020zbMath1088.62077OpenAlexW2038386801MaRDI QIDQ2491853
Publication date: 29 May 2006
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2004.08.020
Wiener processesvector time seriescanonical correlationeigenvectors and eigenvaluescointegration and common factorsgeneralized covariance matrices
Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
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