Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and hav
This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and li
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be ente