Reducing the state space dimension in a large TVP-VAR (Q2190242)
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scientific article; zbMATH DE number 7213065
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| English | Reducing the state space dimension in a large TVP-VAR |
scientific article; zbMATH DE number 7213065 |
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Reducing the state space dimension in a large TVP-VAR (English)
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18 June 2020
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large VAR
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time varying parameter
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reduced rank covariance matrix
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0.8527970910072327
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0.7784706354141235
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0.7679075598716736
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0.7629175186157227
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0.7625136971473694
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