Nonparametric factor analysis of residual time series

DOI10.1007/BF02595830zbMATH Open0981.62073MaRDI QIDQ5952301FDOQ5952301

Authors: Juan Rodriguez-Poo, Oliver Linton 

Publication date: 26 March 2002

Published in: Test (Search for Journal in Brave)

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• scientific article; zbMATH DE number 1522717

zbMATH Keywords

factor analysismultivariate time seriesnonparametric kernel regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Fitting time series models to nonstationary processes
• Title not available (Why is that?)
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• On the Kullback-Leibler information divergence of locally stationary processes
• Title not available (Why is that?)
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Title not available (Why is that?)
• Nonparametric tests of linearity for time series
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series

Cited In (8)

• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• Title not available (Why is that?)
• On time-varying factor models: estimation and testing
• Locally stationary factor models: identification and nonparametric estimation
• A new factor analysis model for factors obeying a Gamma distribution
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• Efficient estimation of a multivariate multiplicative volatility model
• Time-varying general dynamic factor models and the measurement of financial connectedness

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