Nonlinear principal components and long-run implications of multivariate diffusions

Annals of Statistics

Volumn 37, Issue 6 B, 2009, Pages 4279-4312

  Chen, Xiaohong ^a   Hansen, Lars Peter ^b   Scheinkman, José ^c  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

Conditional expectations operator; Low frequency data; Multivariate diffusion; Nonlinear principal components; Quadratic form

Indexed keywords

EID: 73949125626     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/09-AOS706     Document Type: Article

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