60 citations · 62 across the 5 of their papers we have counts for
5 papers
Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors
Diego Fresoli, Pilar Poncela, Esther Ruiz
In this paper, we propose a computationally simple estimator of the asymptotic covariance matrix of the Principal Components (PC) factors valid in the presence of cross-correlated…
Economic activity and climate change
Aránzazu de Juan, Pilar Poncela, Vladimir Rodríguez-Caballero +1
In this paper, we survey recent econometric contributions to measure the relationship between economic activity and climate change. Due to the critical relevance of these effects f…
cissa(): A MATLAB Function for Signal Extraction
Juan Bógalo, Pilar Poncela, Eva Senra
cissa() is a MATLAB function for signal extraction by Circulant Singular Spectrum Analysis, a procedure proposed in Bogalo et al (2021). cissa() extracts the underlying signals in…
Understanding fluctuations through Multivariate Circulant Singular Spectrum Analysis
Juan Bógalo, Pilar Poncela, Eva Senra
We introduce Multivariate Circulant Singular Spectrum Analysis (M-CiSSA) to provide a comprehensive framework to analyze fluctuations, extracting the underlying components of a set…
Circulant Singular Spectrum Analysis: A new automated procedure for signal extraction
Juan Bógalo, Pilar Poncela, Eva Senra
Sometimes, it is of interest to single out the fluctuations associated to a given frequency. We propose a new variant of SSA, Circulant SSA (CiSSA), that allows to extract the sign…