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Anglický jazyk
TIME SERIES IN HIGH DIMENSIONS
Autor: Hallin Marc
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... Viac o knihe
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O knihe
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.
- Vydavateľstvo: World Scientific
- Rok vydania: 2020
- Formát: Hardback
- Rozmer: 235 x 157 mm
- Jazyk: Anglický jazyk
- ISBN: 9789813278004
