A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-023-01504-2.pdf
Reference37 articles.
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2. Bai J, Wang P (2016) Econometric analysis of large factor models. Annu Rev Econom 8(1):53–80
3. Bai X, Zheng L (2023) Robust factor models for high-dimensional time series and their forecasting. Commun Stat 52(19):1–14. https://doi.org/10.1080/03610926.2022.2033777
4. Brillinger DR (1981) Time series, data analysis and theory. Cambridge Series in Statistical and Probabilistic
5. Brockwell P, Davis R (2009) Time series: theory and methods. Springer Series in Statistics. Springer, New York
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