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Error-Correction Factor Models for High-dimensional Cointegrated Time Series (2020)

First Author: Tu Y

Attributed to: Modelling Vast Time Series: Sparsity and Segmentation funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.5705/ss.202017.0250

Publication URI: https://api.elsevier.com/content/abstract/scopus_id/85078823399

Type: Journal Article/Review

Parent Publication: Statistica Sinica