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Generalized Linear Dynamic Factor Models - A Structure Theory

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Date

2008

Authors

Anderson, Brian
Deistler, Manfred

Journal Title

Journal ISSN

Volume Title

Publisher

Institute of Electrical and Electronics Engineers (IEEE Inc)

Abstract

In this paper we present a structure theory for generalized linear dynamic factor models (GDFM's). Emphasis is laid on the so-called zeroless case. GDFM's provide a way of overcoming the "curse of dimensionality" plaguing multivariate time series modelling, provided that the single time series are similar. They are used in modelling and forecasting for financial and macroeconomic time series.

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/56247

Collections

Open Access Research

Source

Proceedings of IEEE Conference on Decision and Control 2008

Type

Conference paper

Book Title

Entity type

Access Statement

License Rights

DOI

10.1109/CDC.2008.4739367

Restricted until

2037-12-31

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Description
01_Anderson_Generalized_Linear_Dynamic_2008.pdf (214.9 KB)

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