Time series factor models
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Publication:6562684
DOI10.1002/WICS.1245zbMATH Open1540.6201MaRDI QIDQ6562684FDOQ6562684
Authors: Katherine Bennett Ensor 
Publication date: 27 June 2024
Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)
Cites Work
- Forecasting Using Principal Components From a Large Number of Predictors
- Determining the Number of Factors in Approximate Factor Models
- Title not available (Why is that?)
- A dimension-reduced approach to space-time Kalman filtering
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- Variable selection for nonparametric Gaussian process priors: Models and computational strategies
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Analysis of financial time series
- Identification of causal factor models of stationary time series
- GLS estimation of dynamic factor models
- Models for Investors in Real World Markets
- A parametric estimation method for dynamic factor models of large dimensions
- Statistics and Data Analysis for Financial Engineering
Cited In (1)
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