Identification and Bayesian Estimation of Dynamic Factor Models

DOI10.1080/07350015.2014.941467MaRDI QIDQ6667022zbMATH OpenFDO

Authors Jushan Bai, Peng Wang

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.941467

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cited in

(11)

• A regularized low tubal-rank model for high-dimensional time series data
• Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series
• CP factor model for dynamic tensors
• Fitting multilevel factor models
• Common factors and common shocks: a tale of three (close) signal extraction procedures
• Smooth and Probabilistic PARAFAC Model with Auxiliary Covariates
• Recurrent double-conditional factor model
• Bayesian Dynamic Matrix Factor Models
• Short-term forecasting with optimal transport
• The Factor Structure of Disagreement
• Bayesian copula factor autoregressive models for time series mixed data

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