Time Series In High Dimensions: The General Dynamic Factor Model
Regular price
€260.40
14 days return policy
Shipping & Delivery
Big Data
Category=KCH
Dimension Reduction
Dynamic Principal Components Forecasting in High Dimension
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Factor Models
High Dimension
Latent Variables
Principal Components
Structural Analysis
Time Series
Volatility in High Dimension
Product details
- ISBN 9789813278004
- Publication Date: 04 Aug 2020
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
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.
