Identification of Common Factors in Multivariate Time Series Modeling

DOI10.15446/RCE.V38N1.48812zbMATH Open1435.62323OpenAlexW2014211138MaRDI QIDQ5114040FDOQ5114040

Mariano González, Juan M. Nave

Publication date: 21 June 2020

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v38n1.48812

zbMATH Keywords

stationarityfactor analysiscointegration

Mathematics Subject Classification ID

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

Cited In (2)

• Modelling multiple time series via common factors
• Estimation of common factors under cross-sectional and temporal aggregation constraints

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