Correal, María Elsa; Peña, Daniel Threshold dynamic factor model. (Spanish. English summary) Zbl 07578275 Rev. Colomb. Estad. 31, No. 2, 183-192 (2008). MSC: 62-XX PDFBibTeX XMLCite \textit{M. E. Correal} and \textit{D. Peña}, Rev. Colomb. Estad. 31, No. 2, 183--192 (2008; Zbl 07578275) Full Text: Link
Peña, Daniel; Poncela, Pilar Nonstationary dynamic factor analysis. (English) Zbl 1088.62077 J. Stat. Plann. Inference 136, No. 4, 1237-1257 (2006). MSC: 62H25 62M10 62G10 PDFBibTeX XMLCite \textit{D. Peña} and \textit{P. Poncela}, J. Stat. Plann. Inference 136, No. 4, 1237--1257 (2006; Zbl 1088.62077) Full Text: DOI
Guerrero, Víctor M.; Peña, Daniel Combining multiple time series predictors: A useful inferential procedure. (English) Zbl 1020.62090 J. Stat. Plann. Inference 116, No. 1, 249-276 (2003). MSC: 62M20 62F30 62P20 62M10 PDFBibTeX XMLCite \textit{V. M. Guerrero} and \textit{D. Peña}, J. Stat. Plann. Inference 116, No. 1, 249--276 (2003; Zbl 1020.62090) Full Text: DOI