Time Series In High Dimension: The General Dynamic Factor Model

September 29, 2020|
Time Series In High Dimension: The General Dynamic Factor Model by Marc Hallin
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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.
Title:Time Series In High Dimension: The General Dynamic Factor ModelFormat:HardcoverProduct dimensions:726 pages, 0 X 0 X 0 inShipping dimensions:726 pages, 0 X 0 X 0 inPublished:September 29, 2020Publisher:World Scientific PublishingLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:9813278005

ISBN - 13:9789813278004

Appropriate for ages: All ages

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