Time Series in High Dimensions
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Book Overview Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provid...
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.
Book Details Format: Hardcover | Pages: 764 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9813278005
FormatHardcover
Pages764
LanguageEnglish
ISBN9813278005
EAN9789813278004
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date1970-01-01
Edition1
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight2.6 Pounds
Length9.0 Inches
Width6.0 Inches
Height1.63 Inches
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