Sparse estimation of dynamic principal components for forecasting high-dimensional time series
Daniel Peña, Ezequiel Smucler, Victor J. Yohai
| Year of publication: |
2021
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|---|---|
| Authors: | Peña, Daniel ; Smucler, Ezequiel ; Yohai, Victor J. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1498-1508
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| Subject: | Cross validation | Dynamic factor models | L1 penalization | Lasso | Principal components | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Hauptkomponentenanalyse | Principal component analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013274304