Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors

We consider forecasting a single time series using a large number of predictors in the presence of a possible nonlinear forecast function. Assuming that the predictors affect the response through the latent factors, we propose to first conduct factor analysis and then apply sufficient dimension redu...

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Veröffentlicht in:	arXiv.org 2021-04
Hauptverfasser:	Luo, Wei, Xue, Lingzhou, Yao, Jiawei, Yu, Xiufan
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer simulation Dimensional analysis Empirical analysis Forecasting Linearity Mathematical analysis Mathematical models Methods Regression analysis
Online-Zugang:	Volltext
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