A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
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Cites work
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- An M-estimator for the long-memory parameter
- Applications of principal component analysis and factor analysis in the identification of multivariable systems
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- Determining the Number of Factors in the General Dynamic Factor Model
- Elements of multivariate time series analysis
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- Estimation of latent factors for high-dimensional time series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Fitting dynamic factor models to non-stationary time series
- Highly robust estimation of the autocovariance function
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- scientific article; zbMATH DE number 1208131 (Why is no real title available?)
- Identifying a Simplifying Structure in Time Series
- Large sample behaviour of some well-known robust estimators under long-range dependence
- Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Reduced rank models for multiple time series
- Robust confirmatory factor analysis based on the forward search algorithm
- Robust dimension reduction using sliced inverse median regression
- Robust estimation in long-memory processes under additive outliers
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Robust factor modelling for high-dimensional time series: an application to air pollution data
- Robust factor models for high-dimensional time series and their forecasting
- Robust high-dimensional factor models with applications to statistical machine learning
- SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
- Time series: Theory and methods
- Weak convergence to fractional brownian motion and to the rosenblatt process
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