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Forecasting time series using principal component analysis with respect to instrumental variables

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  • Cornillon, P.-A.
  • Imam, W.
  • Matzner-Lober, E.

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  • Cornillon, P.-A. & Imam, W. & Matzner-Lober, E., 2008. "Forecasting time series using principal component analysis with respect to instrumental variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1269-1280, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:3:p:1269-1280
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    References listed on IDEAS

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    1. Heij, Christiaan & Groenen, Patrick J.F. & van Dijk, Dick, 2007. "Forecast comparison of principal component regression and principal covariate regression," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3612-3625, April.
    2. Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
    3. Durand, Jean-Francois, 1993. "Generalized principal component analysis with respect to instrumental variables via univariate spline transformations," Computational Statistics & Data Analysis, Elsevier, vol. 16(4), pages 423-440, October.
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    Cited by:

    1. Mestekemper, Thomas & Windmann, Michael & Kauermann, Göran, 2010. "Functional hourly forecasting of water temperature," International Journal of Forecasting, Elsevier, vol. 26(4), pages 684-699, October.

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