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arxiv: 1710.11286 · v1 · pith:SVWQ25HMnew · submitted 2017-10-31 · 🧮 math.ST · stat.TH

Consistency of Generalized Dynamic Principal Components in Dynamic Factor Models

classification 🧮 math.ST stat.TH
keywords dynamiccomponentsfactorgeneralizedmodelprincipalcommonconsistency
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We study the theoretical properties of the generalized dynamic principal components introduced in Pe\~na and Yohai (2016). In particular, we prove that when the data follows a dynamic factor model, the reconstruction provided by the procedure converges in mean square to the common part of the model as the number of series and periods diverge to infinity. The results of a simulation study support our findings.

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