Time Series In High Dimensions

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.

שנה

2020

שפה

English

הוצאה

World Scientific Publishing Company (WSPC)

מהדורות

1

עמודים

770

ISBN

9789813278004

מקור הנתונים: Wikidata