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Seasonal Dynamic Factor Analysis and Bootstrap Inference

Summary: [This abstract is based on the authors' abstract.] This article proposes an extension of Nonstationary Dynamic Factor Analysis called Seasonal Dynamic Factor Analysis, which extracts common and specific components when dimensionality is reduced in vectors of time series. A bootstrap procedure that does not need a backward representation of the model is also proposed. The proposed model and bootstrap scheme are demonstrated with a computation of long term point forecasts and prediction intervals of electricity prices.

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  • Topics: Statistics
  • Keywords: Bootstrap methods, Energy, Factor analysis, Forecasting, Modeling, Dimensionality reduction, Seasonality, Unobserved components
  • Author: Alonso, Andrés M.; Garcia-Martos, Carolina; Rodríguez, Julio; Jesú Sánchez, María;
  • Journal: Technometrics