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Luis K. Hotta
Luis K. Hotta
Dynamic factor
Monte Carlo method
Dimensionality reduction
Applied mathematics
Matrix (mathematics)
2
Papers
1
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0
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Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
2019
Marc Hallin
Luis K. Hotta
João H. G Mazzeu
Carlos César Trucíos Maza
Pedro L. Valls Pereira
Mauricio Zevallos
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On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
2019
Carlos César Trucíos Maza
João H. G Mazzeu
Luis K. Hotta
Pedro L. Valls Pereira
Marc Hallin
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