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math.ST2017
Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors
Wei Luo, Lingzhou Xue, Jiawei Yao +1
We consider forecasting a single time series using a large number of predictors in the presence of a possible nonlinear forecast function. Assuming that the predictors affect the r…
math.ST2015★ 2 cited
Sufficient Forecasting Using Factor Models
Jianqing Fan, Lingzhou Xue, Jiawei Yao
We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional…