Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series

Econometrics Journal

Volumn 17, Issue 2, 2014, Pages

  Song, Song ^a   Härdle, Wolfgang K ^b,c   Ritov, Ya'acov ^b,c  

^a UNIVERSITY OF ALABAMA   (United States)

^b HUMBOLDT UNIVERSITY   (Germany)

^c HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

Asymptotic inference; Factor model; Group Lasso; Periodic; Seasonality; Semi parametric model; Spectral analysis; Weather

Indexed keywords

EID: 84901768116     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/ectj.12024     Document Type: Article

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