Nonparametric factor analysis of residual time series

DOI10.1007/BF02595830MaRDI QIDQ5952301zbMATH OpenFDO

Authors Juan Rodriguez-Poo, Oliver Linton

Publication date 26 March 2002

Published in Test (Search for Journal in Brave)

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)

Recommendations

• Fitting dynamic factor models to non-stationary time series
• Nonstationary dynamic factor analysis
• On time-varying factor models: estimation and testing
• Locally stationary factor models: identification and nonparametric estimation
• scientific article; zbMATH DE number 1522717

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3357845 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• Approximation Theorems of Mathematical Statistics
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• 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
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Nonparametric tests of linearity for time series
• On the Kullback-Leibler information divergence of locally stationary processes

Cited in

(8)

• Time-varying general dynamic factor models and the measurement of financial connectedness
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• scientific article; zbMATH DE number 1208109 (Why is no real title available?)
• On time-varying factor models: estimation and testing
• Locally stationary factor models: identification and nonparametric estimation
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• A new factor analysis model for factors obeying a Gamma distribution
• Efficient estimation of a multivariate multiplicative volatility model

This page was built for publication: Nonparametric factor analysis of residual time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5952301)