Nonstationary dynamic factor analysis (Q2491853)

From MaRDI portal

Jump to:navigation, search

scientific article

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

Statements

scholarly article

0 references

Nonstationary dynamic factor analysis (English)

0 references

0 references

0 references

Journal of Statistical Planning and Inference

0 references

publication date

29 May 2006

0 references

zbMATH Keywords

canonical correlation

0 references

cointegration and common factors

0 references

eigenvectors and eigenvalues

0 references

generalized covariance matrices

0 references

vector time series

0 references

Wiener processes

0 references

describes a project that uses

0 references

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

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

0 references

Inference of Vector Autoregressive Models With Cointegration and Scalar Components

0 references

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

0 references

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

0 references

Distribution of eigenvalues in multivariate statistical analysis

0 references

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

0 references

Determining the Number of Factors in Approximate Factor Models

0 references

0 references

0 references

A canonical analysis of multiple time series

0 references

0 references

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

0 references

Limiting distributions of least squares estimates of unstable autoregressive processes

0 references

0 references

0 references

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

0 references

COINTEGRATION AND COMMON FACTORS

0 references

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

0 references

Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series

0 references

0 references

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

0 references

Volatility and Links between National Stock Markets

0 references

Disturbance smoother for state space models

0 references

0 references

Identifying a Simplifying Structure in Time Series

0 references

Multiple Time Series Regression with Integrated Processes

0 references

0 references

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

0 references

Generalized canonical analysis for time series

0 references

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

0 references

Testing for Common Trends

0 references

Forecasting Using Principal Components From a Large Number of Predictors

0 references

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

0 references

0 references

0 references

Asymptotic properties of multivariate nonstationary processes with applications to autoregressions

0 references

Reduced rank models for multiple time series

0 references

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

0 references

An algorithm for estimating parameters of state-space models

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.jspi.2004.08.020

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2491853

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2491853&oldid=34877786"