Nonparametric Factor Analysis of Time Series

Book, Research, Preprint English OPEN
Rodríguez-Poo, Juan M.; Linton, Oliver Bruce;
  • Publisher: Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
  • Related identifiers: doi: 10.18452/3757
  • Subject: Factor Analysis | 17 Wirtschaft | Factor Analysis,Time Series,Kernel estimation,Nonparametric | 330 Wirtschaft | Time Series | Kernel estimation | Nonparametric
    • ddc: ddc:330
    arxiv: Statistics::Theory | Statistics::Methodology

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.