A computational method for estimating continuum factor models

MaRDI QIDQ1389255zbMATH OpenFDO

Authors Sara Sjöstedt, Anders Barrlund

Publication date 14 June 1998

Published in Computational Statistics (Search for Journal in Brave)

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)

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Cited in

(1)

• Computational algorithms for the factor model

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