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TIME SERIES IN HIGH DIMENSIONS

Autor Marco Lippi Matteo Barigoz Marc Hallin
en Limba Engleză Hardback – 29 iun 2020
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.
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Specificații

ISBN-13: 9789813278004
ISBN-10: 9813278005
Pagini: 764
Dimensiuni: 157 x 235 x 45 mm
Greutate: 1.24 kg
Editura: World Scientific