Time Series In High Dimensions

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.

subjects: Time series analysis,  Econometrics,  Mathematical statistics,  Statistical methods,  Stochastic processes,  Autocorrelation,  Regression analysis,  Economics