Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (Q6093785)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models |
scientific article; zbMATH DE number 7736550
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models |
scientific article; zbMATH DE number 7736550 |
Statements
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (English)
0 references
12 September 2023
0 references
EM algorithm
0 references
Kalman filter
0 references
principal components
0 references
state-space model
0 references
0 references
0 references
0 references
0 references
