experiments considered in this paper. Despite its simplicity, the theory behind the proposed approach is quite complicated. We …

component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … nonlinear methods, and that using a combination of factor and other shrinkage methods often yields superior predictions. For … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …

of shrinkage estimators, indexed by hyperparameters that determine the relative weight on maximum likelihood estimates … where the VAR is (potentially) misspecified. The proposed criteria can be used to jointly select the optimal shrinkage …