Multivariate Fractional Components Analysis

• Tác giả: Tobias Hartl, Roland Weigand
• Ngôn ngữ: eng
• Ký hiệu phân loại: 515.93 Functions of one complex variable
• Thông tin xuất bản: 2018
• Bộ sưu tập: Metadata
• ID: 162474

Tóm tắt

We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short- and long-memory components provide a reasonable fit and competitive out-of-sample performance compared to several competing methods.