Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction
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More about this item
Keywords
embedding; principle components; re-scaled trajectory matrix; singular value decomposition; spectrum.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-09-11 (Econometrics)
- NEP-ETS-2016-09-11 (Econometric Time Series)
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