Cover Image

Forecasting High Dimensional Time Series with Dynamic Dimension Reduction

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Peña, Daniel, Yohai, Victor J.
Format:	Preprint
Published:	2025
Subjects:	Methodology Statistics Theory 62M10 and 62M20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pivotal inference for linear predictions in stationary processes
by: Dette, Holger, et al.
Published: (2025)

Nonparametric Vector Quantile Autoregression
by: González-Sanz, Alberto, et al.
Published: (2025)

Self-Normalization for CUSUM-based Change Detection in Locally Stationary Time Series
by: Heinrichs, Florian
Published: (2025)

On the optimal prediction of extreme events in heavy-tailed time series with applications to solar flare forecasting
by: Verma, Victor, et al.
Published: (2024)

Sequential Outlier Detection in Non-Stationary Time Series
by: Heinrichs, Florian, et al.
Published: (2025)

A Note on Local Linear Regression for Time Series in Banach Spaces
by: Heinrichs, Florian
Published: (2025)

Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
by: Woitschig, Patrick, et al.
Published: (2026)

A Novel Multiple Imputation Approach For Parameter Estimation in Observation-Driven Time Series Models With Missing Data
by: Pumi, Guilherme, et al.
Published: (2026)

Residual spectrum: Brain functional connectivity detection beyond coherence
by: Goto, Yuichi, et al.
Published: (2023)

A Matsuoka-Based GARMA Model for Hydrological Forecasting: Theory, Estimation, and Applications
by: Pumi, Guilherme, et al.
Published: (2025)

Tensor Time Series Imputation through Tensor Factor Modelling
by: Cen, Zetai, et al.
Published: (2024)

Sample Splitting and Assessing Goodness-of-fit of Time Series
by: Davis, Richard A., et al.
Published: (2024)

Two step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
by: Fujimori, Kou, et al.
Published: (2024)

Counterfactual Forecasting for Panel Data
by: Deb, Navonil, et al.
Published: (2025)

Parametric generalized spectrum for heavy-tailed time series
by: Goto, Yuichi, et al.
Published: (2026)

Nonparametric Test for Volatility in Clustered Multiple Time Series
by: Barrios, Erniel B., et al.
Published: (2021)

Empirical study of periodic autoregressive models with additive noise -- estimation and testing
by: Żuławiński, Wojciech, et al.
Published: (2023)

Unit-Weibull Autoregressive Moving Average Models
by: Pumi, Guilherme, et al.
Published: (2022)

A Global Wavelet Based Bootstrapped Test of Covariance Stationarity
by: Hill, Jonathan B., et al.
Published: (2022)

Matrix-valued Factor Model with Time-varying Main Effects
by: Lam, Clifford, et al.
Published: (2024)

Wavelet Based Periodic Autoregressive Moving Average Models
by: Davis, Rhea, et al.
Published: (2024)

Coherent forecasting of NoGeAR(1) model
by: Andrews, Divya Kuttenchalil, et al.
Published: (2024)

Maximal Ancillarity, Semiparametric Efficiency, and the Elimination of Nuisances
by: Hallin, Marc, et al.
Published: (2026)

Bivariate generalized autoregressive models for forecasting bivariate non-Gaussian times series
by: Ribeiro, Tatiane Fontana, et al.
Published: (2025)

Multiscale Change Point Detection for Functional Time Series
by: Kutta, Tim, et al.
Published: (2025)

On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
by: Pouzo, Demian, et al.
Published: (2025)

At the edge of Donsker's Theorem: Asymptotics of multiscale scan statistics
by: Köhne, Johann, et al.
Published: (2025)

Leveraging Non-Decimated Wavelet Packet Features and Transformer Models for Time Series Forecasting
by: Nason, Guy P, et al.
Published: (2024)

Sparsity of the Main Effect Matrix Factor Model
by: Cen, Zetai, et al.
Published: (2025)

Multiscale detection of practically significant changes in a gradually varying time series
by: Bastian, Patrick, et al.
Published: (2025)

Adaptive functional principal components analysis
by: Wang, Sunny G. W., et al.
Published: (2023)

Mixed difference integer-valued GARCH model for $ \mathbb{Z}$-valued time series
by: Aknouche, Abdelhakim, et al.
Published: (2026)

Extreme-PLS with missing data under weak dependence
by: Girard, Stéphane, et al.
Published: (2025)

Identification-Robust Testing in Endogenous Functional Linear Regression with Weak or Irrelevant Auxiliary Variables
by: Seo, Won-Ki
Published: (2026)

Reduced-Rank Autoregressive Model for High-Dimensional Multivariate Network Time Series
by: Lyu, Qi, et al.
Published: (2026)

Bayesian joint quantile autoregression
by: Castillo-Mateo, Jorge, et al.
Published: (2023)

TERRA: A Transformer-Enabled Recursive R-learner for Longitudinal Heterogeneous Treatment Effect Estimation
by: Shi, Lei, et al.
Published: (2025)

Change point analysis with irregular signals
by: Kley, Tobias, et al.
Published: (2024)

Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models
by: Virolainen, Savi
Published: (2024)

A mixture autoregressive model based on Gaussian and Student's $t$-distributions
by: Virolainen, Savi
Published: (2020)