A generalized time-effect factor model and its application: recovering trend of temperature by pollen data

作者：Hu Yu Pin^*; Chou Rouh Jane

来源：Environmetrics, 2008, 19(5): 439-451.

DOI：10.1002/env.884

• factor model
• multiple time series
• Pena-Box model
• pollen data
• temperature

In order to extract the time-effect factors of multiple time series, a generalized time-effect factor model (GTFM) and a statistic for identifying the model are proposed. This model is a general form of the Pena-Box model. Based on the model, a pollen data set from Taiwan is analyzed. A factor, named temperature, is extracted. Its trend is then used to recover the weather of Taiwan over the past 5000 years.

• 出版日期2008-8
• 单位清华大学