Estimation procedure for a high dimensional dynamic autoregressive model .
Abstract (We propose a dynamic model with high dimensional training set and high dimensional exogenous predictors. To address the dynamic behavior of the model and high dimensionally, an estimation procedure is developed through a hybrid of sparse principal components and nonparametric regression. S...
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| Format: | Thesis |
| Language: | English |
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Quezon City
University of the Philippines
2016.
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