Forecasting simultaneously high-dimensional time series: A robust model-based clustering approach

• Main Authors: Wang, Y., Tsay, R.S., Ledolter, J., Shrestha, K.M.
• Other Authors: RISK MANAGEMENT INSTITUTE
• Format: Article
• Published: 2016
• Subjects: Hilbert-Huang transform; LASSO regression; Markov chain Monte Carlo; model-based clustering; partial least squares; principal component regression
• Online Access: http://scholarbank.nus.edu.sg/handle/10635/128735
• Institution: National University of Singapore

10.1002/for.2264