Time Series in High Dimension: the General Dynamic Factor Model

Released on by Marc Hallin
preview-18

  • Time Series in High Dimension: the General Dynamic Factor Model Book Detail

  • Author : Marc Hallin
  • Release Date : 2020-03-30
  • Publisher : World Scientific Publishing Company
  • Genre : Business & Economics
  • Pages : 764
  • ISBN 13 : 9789813278004
  • File Size : 59,59 MB
DOWNLOAD BOOK

Time Series in High Dimension: the General Dynamic Factor Model by Marc Hallin PDF Summary

Book Description: Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

Disclaimer: www.yourbookbest.com does not own Time Series in High Dimension: the General Dynamic Factor Model books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Time Series Models

Time Series Models

File Size : 96,96 MB
Total View : 2512 Views
DOWNLOAD

This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and li