Infinite-dimensional autoregressive systems and the generalized dynamic factor model

MaRDI QIDQ5262067zbMATH OpenFDO

Authors Marco Lippi

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/108/

zbMATH Keywords

generalized dynamic factor modelsinfinite-dimensional datasets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(5)

• Generalized linear dynamic factor models: an approach via singular autoregressions
• Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions
• Generalized infinite factorization models
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• Infinite-dimensional VARs and factor models

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