In a data-rich environment, forecasting economic variables amounts to extracting and organizing useful information from a large number of predictors. So far, the dynamic factor model and its variants have been the most successful models for such exercises. In this paper, we investigate a...

In this note we develop an extension of the Marčenko–Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density...

As high dimensional data occur as a rule rather than an exception in critical care today, it is of utmost importance to improve acquisition, storage, modelling and analysis of medical data, which appears feasible only with the help of bedside computers. The use of clinical information systems...

As high dimensional data occur as a rule rather than an exception in critical care today, it is of utmost importance to improve acquisition, storage, modelling and analysis of medical data, which appears feasible only with the help of bedside computers. The use of clinical information systems...

As high dimensional data occur as a rule rather than an exception in critical care today, it is of utmost importance to improve acquisition, storage, modelling and analysis of medical data, which appears feasible only with the help of bedside computers. The use of clinical information systems...