arXiv stat.ML
· Papers
Supervised Mixed-Frequency Learning for Macro-Financial Forecasting When Factors are Weak
arXiv:2608.12589v1 Announce Type: cross Abstract: Factor-MIDAS regressions forecast a low-frequency target by extracting common factors from a large panel of high-frequency predictors via principal component analysis (PCA). While PCA mitigates the curse of dimensionality, it relies on factor pervasiveness, an assumptio