High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
Year of publication: |
2010-07
|
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Authors: | Song, Song ; Härdle, Wolfgang K. ; Ya'acov Ritov |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Semiparametric model | Factor model | Group Lasso | Seasonality | Spectral Analysis | Periodic | Asymptotic inference | Weather | fMRI | Implied Volatility Surface |
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