适用于平稳与非平稳变量混合的主成分分析
Principal Component Analysis for a Mix of Stationary and Nonstationary Variables
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中文总结 AI 辅助
本文提出一种无需预知变量平稳性情况的主成分分析方法，经FRED-MD宏观经济数据集验证，其兼具传统主成分分析的优势且有额外优点。
中文摘要 AI 辅助
本文提出一种用于揭示驱动平稳与非平稳变量混合的共同周期因子的方法，该方法无需知晓哪些变量为非平稳或非平稳性的性质。将其应用于FRED-MD宏观经济数据集，结果表明该方法具备与传统主成分分析相近的优势，且拥有额外优点。
英文摘要
This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstationary or the nature of the nonstationarity. An application to the FRED-MD macroeconomic dataset demonstrates that the approach offers similar benefits to those of traditional principal component analysis with some added advantages.
