Marc Hallin
Time Series In High Dimensions
Marc Hallin, Marco Lippi, Matteo Barigozzi · 2020
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Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Book details
- Year
- 2020
- Language
- English
- Publisher
- World Scientific Publishing Company (WSPC)
- Editions
- 1
- Pages
- 770
- ISBN
- 9789813278004
Data source: Wikidata
