A state-space approach to time-varying reduced-rank regression (Q5867576)
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scientific article; zbMATH DE number 7584734
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| English | A state-space approach to time-varying reduced-rank regression |
scientific article; zbMATH DE number 7584734 |
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A state-space approach to time-varying reduced-rank regression (English)
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14 September 2022
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EM-algorithm
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Kalman filter
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time-varying parameters
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vector error correction model
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