Prof. Daniel Peña Sánchez de Rivera, Department of Statistics, Universidad Carlos III de Madrid
Thursday, April 25, 2019, 16:00
- 17:00
B1 L4 Room 4102
Contact Person
Generalized Dynamic principal components are presented and it is shown how to define one side inear combinations of the present and past values of the series that minimize the reconstruction mean squared error (ODPC). It is shown that the ODPC introduced in this paper can be successfully used for forecasting high-dimensional multiple time series.