Wavelet estimation for factor models with time-varying loadings
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Abstract: We introduce a high-dimensional factor model with time-varying loadings. We cover both stationary and nonstationary factors to increase the possibilities of applications. We propose an estimation procedure based on two stages. First, we estimate common factors by principal components. In the second step, considering the estimated factors as observed, the time-varying loadings are estimated by an iterative generalized least squares procedure using wavelet functions. We investigate the finite sample features by some Monte Carlo simulations. Finally, we apply the model to study the Nord Pool power market's electricity prices and loads.
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- scientific article; zbMATH DE number 1313655 (Why is no real title available?)
- scientific article; zbMATH DE number 844883 (Why is no real title available?)
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Cited in
(6)- Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
- Time-varying cointegration model using wavelets
- Time varying factor models with possibly strongly correlated noises
- Evolutionary factor analysis of replicated time series
- Wavelet estimation in time-varying coefficient models
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
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