Forecasting Multiple Time Series With One-Sided Dynamic Principal Components

We define one-sided dynamic principal components (ODPC) for time series as linear combinations of the present and past values of the series that minimize the reconstruction mean squared error. Usually dynamic principal components have been defined as functions of past and future values of the series...

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Detalles Bibliográficos
Autores principales: Peña, D., Smucler, E., Yohai, V.J.
Formato: JOUR
Materias:
Dimensionality reduction
Dynamic factor models
High-dimensional time series
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_01621459_v_n_p_Pena
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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