A wavelet approach for factor-augmented forecasting

DOI10.1002/for.1200zbMath1225.91049MaRDI QIDQ3096858

António Rua

Publication date: 15 November 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201007.pdf

zbMATH Keywords

wavelets; forecasting; factor models; multi-resolution decomposition

Mathematics Subject Classification ID

62M15: Inference from stochastic processes and spectral analysis

91B82: Statistical methods; economic indices and measures

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