Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
Year of publication: |
2012-06-08
|
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Authors: | Kristensen, Johannes Tang |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Forecasting | FactorsModels | Principal Components Analysis | Robust Estimation | Least Absolute Deviations |
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