Time Series in High Dimensions
Hallin Marc
Sold by Ria Christie Collections, Uxbridge, United Kingdom
AbeBooks Seller since March 25, 2015
New - Hardcover
Condition: New
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Add to basketSold by Ria Christie Collections, Uxbridge, United Kingdom
AbeBooks Seller since March 25, 2015
Condition: New
Quantity: Over 20 available
Add to basketFactor 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.
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