Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (Q6093785)
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scientific article; zbMATH DE number 7736550
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| English | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models |
scientific article; zbMATH DE number 7736550 |
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Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (English)
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12 September 2023
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EM algorithm
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Kalman filter
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principal components
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state-space model
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