Matches in SemOpenAlex for { <https://semopenalex.org/work/W4200522107> ?p ?o ?g. }
- W4200522107 endingPage "495" @default.
- W4200522107 startingPage "473" @default.
- W4200522107 abstract "Abstract We study the integral of the Frobenius norm as a measure of the discrepancy between two multivariate spectra. Such a measure can be used to fit time series models, and ensures proximity between model and process at all frequencies of the spectral density—this is more demanding than Kullback–Leibler discrepancy, which is instead related to one-step ahead forecasting performance. We develop new asymptotic results for linear and quadratic functionals of the periodogram, and make two applications of the integrated Frobenius norm: (i) fitting time series models, and (ii) testing whether model residuals are white noise. Model fitting results are further specialized to the case of structural time series models, wherein co-integration rank testing is formally developed. Both applications are studied through simulation studies, as well as illustrations on inflation and construction data. The numerical results show that the proposed estimator can fit moderate- to large-dimensional structural time series in real time, an option that is lacking in current literature." @default.
- W4200522107 created "2021-12-31" @default.
- W4200522107 creator A5080789298 @default.
- W4200522107 creator A5088441292 @default.
- W4200522107 date "2021-12-23" @default.
- W4200522107 modified "2023-10-16" @default.
- W4200522107 title "Model identification via total Frobenius norm of multivariate spectra" @default.
- W4200522107 cites W1561257385 @default.
- W4200522107 cites W1830719945 @default.
- W4200522107 cites W186039566 @default.
- W4200522107 cites W1976137488 @default.
- W4200522107 cites W1979523885 @default.
- W4200522107 cites W1996202261 @default.
- W4200522107 cites W2006098103 @default.
- W4200522107 cites W2009868025 @default.
- W4200522107 cites W2015168594 @default.
- W4200522107 cites W2031535457 @default.
- W4200522107 cites W2041257755 @default.
- W4200522107 cites W2056251361 @default.
- W4200522107 cites W2062550261 @default.
- W4200522107 cites W2081667690 @default.
- W4200522107 cites W2093230975 @default.
- W4200522107 cites W2110343796 @default.
- W4200522107 cites W2111836625 @default.
- W4200522107 cites W2114463818 @default.
- W4200522107 cites W2138569024 @default.
- W4200522107 cites W2164145443 @default.
- W4200522107 cites W2319291298 @default.
- W4200522107 cites W2464175756 @default.
- W4200522107 cites W2499799230 @default.
- W4200522107 cites W2502330485 @default.
- W4200522107 cites W2560520096 @default.
- W4200522107 cites W2562976336 @default.
- W4200522107 cites W2739792530 @default.
- W4200522107 cites W2766183420 @default.
- W4200522107 cites W279529119 @default.
- W4200522107 cites W2795477385 @default.
- W4200522107 cites W2903633136 @default.
- W4200522107 cites W2914708379 @default.
- W4200522107 cites W2947626232 @default.
- W4200522107 cites W3122877468 @default.
- W4200522107 cites W3125571026 @default.
- W4200522107 cites W3151396296 @default.
- W4200522107 cites W4236860674 @default.
- W4200522107 cites W4251759968 @default.
- W4200522107 cites W4255687866 @default.
- W4200522107 cites W4256217162 @default.
- W4200522107 doi "https://doi.org/10.1111/rssb.12480" @default.
- W4200522107 hasPublicationYear "2021" @default.
- W4200522107 type Work @default.
- W4200522107 citedByCount "0" @default.
- W4200522107 crossrefType "journal-article" @default.
- W4200522107 hasAuthorship W4200522107A5080789298 @default.
- W4200522107 hasAuthorship W4200522107A5088441292 @default.
- W4200522107 hasConcept C105795698 @default.
- W4200522107 hasConcept C112633086 @default.
- W4200522107 hasConcept C11413529 @default.
- W4200522107 hasConcept C121332964 @default.
- W4200522107 hasConcept C124101348 @default.
- W4200522107 hasConcept C129844170 @default.
- W4200522107 hasConcept C143724316 @default.
- W4200522107 hasConcept C151730666 @default.
- W4200522107 hasConcept C158693339 @default.
- W4200522107 hasConcept C161584116 @default.
- W4200522107 hasConcept C17744445 @default.
- W4200522107 hasConcept C185429906 @default.
- W4200522107 hasConcept C191795146 @default.
- W4200522107 hasConcept C199539241 @default.
- W4200522107 hasConcept C2524010 @default.
- W4200522107 hasConcept C2780009758 @default.
- W4200522107 hasConcept C28826006 @default.
- W4200522107 hasConcept C33923547 @default.
- W4200522107 hasConcept C41008148 @default.
- W4200522107 hasConcept C62520636 @default.
- W4200522107 hasConcept C86803240 @default.
- W4200522107 hasConcept C92207270 @default.
- W4200522107 hasConceptScore W4200522107C105795698 @default.
- W4200522107 hasConceptScore W4200522107C112633086 @default.
- W4200522107 hasConceptScore W4200522107C11413529 @default.
- W4200522107 hasConceptScore W4200522107C121332964 @default.
- W4200522107 hasConceptScore W4200522107C124101348 @default.
- W4200522107 hasConceptScore W4200522107C129844170 @default.
- W4200522107 hasConceptScore W4200522107C143724316 @default.
- W4200522107 hasConceptScore W4200522107C151730666 @default.
- W4200522107 hasConceptScore W4200522107C158693339 @default.
- W4200522107 hasConceptScore W4200522107C161584116 @default.
- W4200522107 hasConceptScore W4200522107C17744445 @default.
- W4200522107 hasConceptScore W4200522107C185429906 @default.
- W4200522107 hasConceptScore W4200522107C191795146 @default.
- W4200522107 hasConceptScore W4200522107C199539241 @default.
- W4200522107 hasConceptScore W4200522107C2524010 @default.
- W4200522107 hasConceptScore W4200522107C2780009758 @default.
- W4200522107 hasConceptScore W4200522107C28826006 @default.
- W4200522107 hasConceptScore W4200522107C33923547 @default.
- W4200522107 hasConceptScore W4200522107C41008148 @default.
- W4200522107 hasConceptScore W4200522107C62520636 @default.
- W4200522107 hasConceptScore W4200522107C86803240 @default.
- W4200522107 hasConceptScore W4200522107C92207270 @default.