Dimension reduction in time series and the dynamic factor model

  title={Dimension reduction in time series and the dynamic factor model},
  author={Daniel Pe{\~n}a},
  • D. Peña
  • Published 1 June 2009
  • Mathematics
  • Biometrika
This note shows that the dimension reduction method proposed by Li & Shedden (2002) is equivalent to the dynamic factor model introduced by Pena & Box (1987). Copyright 2009, Oxford University Press. 

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