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Modelling multiple time series via common factors

Pan, Jiazhu and Yao, Qiwei (2008) Modelling multiple time series via common factors. Biometrika, 95 (2). pp. 365-379. ISSN 1464-3510

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We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable (nonstationary) factors are identified via expanding the white noise space step by step; therefore solving a high-dimensional optimization problem by several low-dimensional subproblems. Asymptotic properties of the estimation were investigated. The proposed methodology was illustrated with both simulated and real data sets.