Purpose – The purpose of this paper is to present and analyze the current literature related to developing and improving the Mahalanobis-Taguchi system (MTS) and to present the shortcomings related to this method for future research. Design/methodology/approach – In this paper, articles in...

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...

This paper considers smooth principle component analysis for high dimensional data with very large dimensional observations p and moderate number of individuals N. Our setting is similar to traditional PCA, but we assume the factors are smooth and design a new approach to estimate them. By...