30 citations · 48 across the 13 of their papers we have counts for
Showing 2017 · math.STShow all
2 papers · 2 filters
math.ST2017
Consistency of Generalized Dynamic Principal Components in Dynamic Factor Models
Ezequiel Smucler
We study the theoretical properties of the generalized dynamic principal components introduced in Peña and Yohai (2016). In particular, we prove that when the data follows a dynami…
math.ST2017
Asymptotic theory for maximum likelihood estimates in reduced-rank multivariate generalised linear models
Efstathia Bura, Sabrina Duarte, Liliana Forzani +2
Reduced-rank regression is a dimensionality reduction method with many applications. The asymptotic theory for reduced rank estimators of parameter matrices in multivariate linear…