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...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Oxford University Press
2022
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Subjects: | |
Online Access: | View Fulltext in Publisher |