Robust factor models for high-dimensional time series and their forecasting
Author:
Affiliation:
1. School of Science, Dalian Minzu University, Dalian, P.R. China
Funder
Basic Research Fundation for the Central Universities(
50)
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2033777
Reference28 articles.
1. Effect of spatial outliers on the regression modelling of air pollutant concentrations: A case study in Japan
2. Determining the Number of Factors in Approximate Factor Models
3. High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
4. Joint Estimation of Model Parameters and Outlier Effects in Time Series
5. Robust estimation in long-memory processes under additive outliers
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