Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors

DOI10.1080/01621459.2024.2370592MaRDI QIDQ6970808zbMATH OpenFDO

Authors Zhaoxing Gao, Ruey S. Tsay

Publication date 17 June 2025

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2024.2370592

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

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• Improving estimation of portfolio risk using new statistical factors

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