1998-03-19Buch DOI: 10.18452/3757
Nonparametric Factor Analysis of Time Series
Rodríguez-Póo, Juan M.
We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel.
Files in this item
No license information