Time series factor models-Reference-Cited by-同舟云学术

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Time series factor models

Published:2013-02-07 Issue:2 Volume:5 Page:97-104
ISSN:1939-5108
Container-title:Wiley Interdisciplinary Reviews: Computational Statistics
language:en
Short-container-title:WIREs Comp Stat

Author:

Ensor Katherine Bennett

Publisher

Wiley

Subject

Statistics and Probability

Reference30 articles.

1. Statistics and Data Analysis for Financial Engineering

2. Analysis of Financial Time Series

3. Forecasting with approximate dynamic factor models: the role of non-pervasive shocks;Luciani;SSRN eLib,2011

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series;Journal of Computational and Graphical Statistics;2021-03-01

2. Dimension Reduction for Time Series in a Blind Source Separation Context Using R;Journal of Statistical Software;2021

3. Determining the signal dimension in second order source separation;Statistica Sinica;2020

4. Sliced average variance estimation for multivariate time series;Statistics;2019-04-18

5. VARX-L: Structured regularization for large vector autoregressions with exogenous variables;International Journal of Forecasting;2017-07

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