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 and Yao, Qiwei;-
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Item type: Article ID code: 13677 Dates: DateEvent2008Published1 September 2007Published OnlineSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Mrs Carolynne Westwood Date deposited: 12 Jan 2010 15:22 Last modified: 04 Oct 2024 00:17 URI: https://strathprints.strath.ac.uk/id/eprint/13677
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