Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series

Econometrics Journal ◽

10.1111/ectj.12024 ◽

2014 ◽

Vol 17 (2) ◽

pp. S101-S131 ◽

Author(s):

Song Song ◽

Wolfgang K. Härdle ◽

Ya'acov Ritov

Keyword(s):

Time Series ◽

Factor Models ◽

Stationary Time Series ◽

High Dimensional ◽

Stationary Time

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Fitting dynamic factor models to non-stationary time series

Journal of Econometrics ◽

10.1016/j.jeconom.2010.11.007 ◽

2011 ◽

Vol 163 (1) ◽

pp. 51-70 ◽

Author(s):

Michael Eichler ◽

Giovanni Motta ◽

Rainer von Sachs

Keyword(s):

Time Series ◽

Factor Models ◽

Stationary Time Series ◽

Dynamic Factor ◽

Dynamic Factor Models ◽

Stationary Time

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The Cross-Section of Crypto-Currencies as Financial Assets 1 1Financial support from the Deutsche Forschungsgemeinschaft via CRC 649 “Economic Risk” and IRTG 1792 “High Dimensional Non Stationary Time Series,” Humboldt-Universität zu Berlin, is gratefully acknowledged.

Handbook of Blockchain, Digital Finance, and Inclusion, Volume 1 ◽

10.1016/b978-0-12-810441-5.00007-5 ◽

2018 ◽

pp. 145-173 ◽

Author(s):

Hermann Elendner ◽

Simon Trimborn ◽

Bobby Ong ◽

Teik Ming Lee

Keyword(s):

Time Series ◽

Cross Section ◽

Stationary Time Series ◽

High Dimensional ◽

Financial Assets ◽

Economic Risk ◽

Stationary Time ◽

The Cross ◽

Deutsche Forschungsgemeinschaft

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Identification of causal factor models of stationary time series

Econometrics Journal ◽

10.1111/j.1368-423x.2004.00146.x ◽

2004 ◽

Vol 7 (2) ◽

pp. 618-627 ◽

Author(s):

Chris Heaton ◽

Victor Solo

Keyword(s):

Time Series ◽

Factor Models ◽

Causal Factor ◽

Stationary Time Series ◽

Stationary Time

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Adaptive Prediction of Stationary Time Series by Modified Conjugate Direction Methods

Communications in Statistics - Simulation and Computation ◽

10.1080/03610917508548494 ◽

1975 ◽

Vol 4 (1) ◽

pp. 19-32

Author(s):

James Friel

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Conjugate Direction ◽

Stationary Time ◽

Adaptive Prediction ◽

Conjugate Direction Methods

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Stationary Time Series Analysis Using Information and Spectral Analysis

10.21236/ada257279 ◽

1992 ◽

Author(s):

Emanuel Parzen

Keyword(s):

Time Series ◽

Spectral Analysis ◽

Time Series Analysis ◽

Stationary Time Series ◽

Series Analysis ◽

Stationary Time

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Multidimensional specification test based on non-stationary time series

Test ◽

10.1007/s11749-021-00780-0 ◽

2021 ◽

Author(s):

Jun Wang ◽

Dianpeng Wang ◽

Yubin Tian

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Specification Test ◽

Stationary Time

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A Model for Non-Stationary Time Series and Its Applications in Filtering and Anomaly Detection

IEEE Transactions on Instrumentation and Measurement ◽

10.1109/tim.2021.3059321 ◽

2021 ◽

pp. 1-1

Author(s):

Shixiong Wang ◽

Chongshou Li ◽

Andrew Lim

Keyword(s):

Time Series ◽

Anomaly Detection ◽

Stationary Time Series ◽

Stationary Time

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Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models

Scandinavian Journal of Statistics ◽

10.1111/sjos.12508 ◽

2020 ◽

Author(s):

Monika Bours ◽

Ansgar Steland

Keyword(s):

Time Series ◽

Linear Time ◽

Factor Models ◽

Covariance Matrices ◽

High Dimensional ◽

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Investigation of Oscillatory States Involving Acoustic Mode Shifts in a Turbulent Syngas Combustion using Non-stationary Time-series Analysis

Flow Turbulence and Combustion ◽

10.1007/s10494-021-00258-x ◽

2021 ◽

Author(s):

Nikhil A. Baraiya ◽

Vikram Ramanan ◽

N. Baladandayuthapani ◽

C. S. Vegad ◽

S. R. Chakravarthy

Keyword(s):

Time Series ◽

Time Series Analysis ◽

Acoustic Mode ◽

Stationary Time Series ◽

Series Analysis ◽

Stationary Time ◽

Syngas Combustion

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Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2021.125920 ◽

2021 ◽

pp. 125920

Author(s):

Bao-Gen Li ◽

Dian-Yi Ling ◽

Zu-Guo Yu

Keyword(s):

Time Series ◽

Correlation Analysis ◽

Cross Correlation ◽

External Factors ◽

Stationary Time Series ◽

Stationary Time ◽

Cross Correlation Analysis

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