A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data
A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data
This article considers a structural‐factor approach to modeling high‐dimensional time series and space‐time data by decomposing individual series into trend, seasonal, and irregular components. For ease in analyzing many time series, we employ a time polynomial for the trend, a linear combination of trigonometric series for the seasonal component, and …