Factor-based forecasting in the presence of outliers : are factors better selected and estimated by the median than by the mean?
Johannes Tang Kristensen
| Year of publication: |
2014
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|---|---|
| Authors: | Kristensen, Johannes Tang |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 3, p. 309-338
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| Subject: | factors models | forecasting | least absolute deviations | principal components analysis | robust estimation | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Faktorenanalyse | Factor analysis | Schätzung | Estimation |