Title: 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