- October 2021
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- The seed of this special section was the workshop celebrated at FUNCAS in Madrid in February 2019 "30 Years of Cointegration and Dynamic Factor Models Forecasting and its Future with Big Data". In this editorial, we describe the main contributions of the 13 papers published within the special section towards forecasting in the context of non- stationary Big Data using cointegration or Dynamic Factor Models.
- big data; cointegration; dynamic factor models; kalman filter; machine learning; non-stationary large systems; principal components