Time series modelling with semiparametric factor dynamics

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different fiel...

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Bibliographic Details

Other Authors:	Borak, Szymon (Other) , Härdle, Wolfgang (Other) , Mammen, Enno (Other) , Park, Byeong U. (Other)
Format:	Book/Monograph Working Paper
Language:	English
Published:	Berlin SFB 649, Economic Risk 26 Apr. 2007
Series:	SFB 649 discussion paper 2007,023
In:	SFB 649 discussion paper (2007,023)
Subjects:	Arbeitspapier Graue Literatur
Online Access:	Verlag, Volltext: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-023.pdf Download aus dem Internet, Stand 19.02.2008, Volltext: http://hdl.handle.net/10419/25195
Author Notes:	Szymon Borak; Wolfgang Härdle; Enno Mammen; Byeong U. Park