77 citations · 81 across the 5 of their papers we have counts for
6 papers
Wavelet Estimation for Factor Models with Time-Varying Loadings
Duván Humberto Cataño, C. Vladimir Rodríguez-Caballero, Daniel Peña +1
We introduce a high-dimensional factor model with time-varying loadings. We cover both stationary and nonstationary factors to increase the possibilities of applications. We propos…
Understanding complex predictive models with Ghost Variables
Pedro Delicado, Daniel Peña
We propose a procedure for assigning a relevance measure to each explanatory variable in a complex predictive model. We assume that we have a training set to fit the model and a te…
Forecasting Multiple Time Series with One-Sided Dynamic Principal Components
Daniel Peña, Ezequiel Smucler, Victor J. Yohai
We define one-sided dynamic principal components (ODPC) for time series as linear combinations of the present and past values of the series that minimize the reconstruction mean sq…
Distance weighted discrimination of face images for gender classification
Mónica Benito, Eduardo García-Portugués, J. S. Marron +1
We illustrate the advantages of distance weighted discrimination for classification and feature extraction in a High Dimension Low Sample Size (HDLSS) situation. The HDLSS context…
Dynamic Principal Components in the Time Domain
Daniel Peña, Víctor J. Yohai
We propose a time domain approach to define dynamic principal components (DPC) using a reconstruction of the original series criterion. This approach to define DPC was introduced b…
Robust estimation for ARMA models
Nora Muler, Daniel Peña, Víctor J. Yohai
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period wh…