Abstract High-Dimensional Dynamic Factor Models are presented in detail: The main
assumptions and their motivation, main results, illustrations by means of elementary …

This book gives a brief survey of the theory of multidimensional (multivariate), weakly
stationary time series, with emphasis on dimension reduction and prediction. Understanding …

Vector autoregressive moving average (VARMA) processes constitute a flexible class of
linearly regular processes with a wide range of applications. In many cases VARMA models …

In the recent years many countries were hit by a series of macroeconomic shocks, most
notably as a consequence of the COVID-19 pandemic and Russia's invasion in Ukraine …

Singular vector ARMA systems are vector ARMA (VARMA) systems with singular innovation
variance or equivalently with singular spectral density of the corresponding VARMA process …

Factor Sequences are stochastic double sequences $(y_ {it}: i\in\mathbb N, t\in\mathbb Z) $
indexed in time and cross-section which have a so called factor structure. The name was …

Asymptotic properties of classical kernel estimators for the spectral density are studied in the
locally stationary framework. In particular, it is shown that for a locally stationary process …

Hydraulic systems are important in the functioning of everyday life, as well as critical
infrastructure by driving various systems such as automotive, aircrafts, and construction …

This dissertation consists of three independent parts: The yield curve shapes generated by
interest rate models, the yield curve forecasting, and the application of the chance-risk …

Hydraulic systems are important in the functioning of everyday life, as well as critical
infrastructure by driving various systems such as automotive, aircrafts, and construction …