Nonstationary dynamic factor analysis (Q2491853): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Nonstationary dynamic factor analysis	scientific article

Statements

scholarly article

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Nonstationary dynamic factor analysis (English)

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Journal of Statistical Planning and Inference

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publication date

29 May 2006

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zbMATH Keywords

canonical correlation

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cointegration and common factors

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eigenvectors and eigenvalues

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generalized covariance matrices

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vector time series

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Wiener processes

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jspi.2004.08.020

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Inference of Vector Autoregressive Models With Cointegration and Scalar Components

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Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

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The use of factor analysis in the statistical analysis of multiple time series

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Distribution of eigenvalues in multivariate statistical analysis

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Exact likelihood of vector autoregressive-moving average process with missing or aggregated data

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Determining the Number of Factors in Approximate Factor Models

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A canonical analysis of multiple time series

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On computing the expected Fisher information matrix for state-space model parameters

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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COINTEGRATION AND COMMON FACTORS

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

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Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Volatility and Links between National Stock Markets

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Disturbance smoother for state space models

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Identifying a Simplifying Structure in Time Series

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Multiple Time Series Regression with Integrated Processes

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VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

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Generalized canonical analysis for time series

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AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM

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Testing for Common Trends

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Forecasting Using Principal Components From a Large Number of Predictors

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Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter

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Asymptotic properties of multivariate nonstationary processes with applications to autoregressions

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Reduced rank models for multiple time series

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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

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An algorithm for estimating parameters of state-space models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JSPI.2004.08.020

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Sitelinks

Mathematics(1 entry)

mardi Publication:2491853

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