L. Taylor

London School of Economics & Political Science (LSE) - London School of Economics

United Kingdom

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Adaptive Estimation in Multiple Time Series with Independent Component Errors

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 191-203, 2017
Number of pages: 13 Posted: 08 Feb 2017
Peter M. Robinson and L. Taylor
London School of Economics & Political Science (LSE) - Department of Economics and London School of Economics & Political Science (LSE) - London School of Economics
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Abstract:

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Multiple time series, independent component analysis, efficient semiparametric estimation, adaptive estimation, stationary processes, forecast error