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 (https://doi.org/10.1093/biomet/asn009)

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Abstract

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.

ORCID iDs

Pan, Jiazhu ORCID: https://orcid.org/0000-0001-7346-2052

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• Item metadata

  Item type:	Article
  ID code:	13677
  Dates:	Date Event 2008 Published 1 September 2007 Published Online
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Mrs Carolynne Westwood
  Date deposited:	12 Jan 2010 15:22
  Last modified:	17 Dec 2024 01:09
  URI:	https://strathprints.strath.ac.uk/id/eprint/13677