Bayesian Dynamic Matrix Factor Models
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Cites work
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Autoregressive models for matrix-valued time series
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Determining the Number of Factors in Approximate Factor Models
- Estimation of latent factors for high-dimensional time series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor models for matrix-valued high-dimensional time series
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- scientific article; zbMATH DE number 720676 (Why is no real title available?)
- Identification and Bayesian Estimation of Dynamic Factor Models
- Inferential Theory for Factor Models of Large Dimensions
- Marginal Likelihood from the Gibbs Output
- Matrix analysis and applications
- Matrix Autoregressive Spatio-Temporal Models
- Matrix-variate time series analysis: a brief review and some new developments
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- On Gibbs sampling for state space models
- Principal components estimation and identification of static factors
- Projected estimation for large-dimensional matrix factor models
- Statistical analysis of factor models of high dimension
- Statistical foundations of data science
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- The Intrinsic Bayes Factor for Model Selection and Prediction
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