Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
监督式动态主成分分析:多预测变量下的线性动态预测
This paper proposes a novel dynamic forecasting method using a new supervised Principal Component Analysis (PCA) when a large number of predictors are available. The new supervised PCA provides an effective way to bridge the gap between predictors and the target variable of interest by scaling and combining the predictors and their lagged values, resulting in an effective dynamic forecasting. Unlike the traditional diffusion-index approach, which does not learn the…