Dynamic principal component analysis with missing values

DOI10.1080/02664763.2019.1699910OpenAlexW2992324966MaRDI QIDQ5861402FDOQ5861402

Authors: Junhyeon Kwon, Hee-Seok Oh, Yaeji Lim 

Publication date: 1 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1699910

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zbMATH Keywords

dynamic factor modelspectral density matrixdynamic principal component analysisfrequency domain principal component analysismissing problem

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

• Dynamic functional principal components
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Maximum likelihood estimation for dynamic factor models with missing data
• Practical approaches to principal component analysis in the presence of missing values
• Title not available (Why is that?)
• Time series analysis by state space methods.
• Title not available (Why is that?)
• Fitting dynamic factor models to non-stationary time series
• Detecting Common Signals in Multiple Time Series Using the Spectral Envelope

Cited In (5)

• Title not available (Why is that?)
• Principal component analysis with interval imputed missing values
• An application of DPCA to oil data for CBM modeling
• $$\kappa $$-Circulant Maximum Variance Bases
• Dynamic principal component analysis from a global perspective

Uses Software

• freqdom.fda

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