Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007
High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few … number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such … factors? We show that the difference of the inference based on the estimated time series and 'true' unobserved time series is …
