Multivariate modelling of long memory processes with common components

Computational Statistics and Data Analysis

Volumn 52, Issue 2, 2007, Pages 919-934

  Morana, Claudio ^a,b  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b International Centre for Economic Research   (Italy)

Author keywords

Factor model; Long memory; Permanent transitory decomposition; Principal components analysis

Indexed keywords

COMPUTER SIMULATION; DATA STRUCTURES; DECOMPOSITION; FOURIER TRANSFORMS; PARAMETER ESTIMATION; STORAGE ALLOCATION (COMPUTER);

COMPONENTS ANALYSIS; ESTIMATION PROCEDURE; FACTOR MODEL; PERMANENT TRANSITORY DECOMPOSITION; PRINCIPAL COMPONENTS ANALYSIS;

MULTIVARIABLE CONTROL SYSTEMS;

EID: 35148847844     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.12.010     Document Type: Article

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