A computational method for estimating continuum factor models

zbMATH Open0892.62071MaRDI QIDQ1389255FDOQ1389255

Authors: Sara Sjöstedt, Anders Barrlund 

Publication date: 14 June 1998

Published in: Computational Statistics (Search for Journal in Brave)

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zbMATH Keywords

consistencyforecastingautoregressive modelnon-linear optimizationvector time seriesGauss-Newton procedurehidden factors, canonical factor problem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Estimation in multivariate analysis (62H12)

Cited In (1)

• Computational algorithms for the factor model

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