Dynamic factor analysis for short panels: estimating performance trajectories for water utilities

DOI10.1007/S10260-017-0394-YMaRDI QIDQ1742849zbMATH OpenOpenAlexFDO

Authors Nikolaos Zirogiannis, Yorghos Tripodis

Publication date 12 April 2018

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/170592/files/AAEA_2014_paper.pdf

zbMATH Keywords

dynamic factor modelsEM algorithmpanel datastate-space modelswater utilities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

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• A fast algorithm for signal extraction, influence and cross-validation in state space models
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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• Are more data always better for factor analysis?
• Automated learning of factor analysis with complete and incomplete data
• Disturbance smoother for state space models
• Dynamic factor analysis of nonstationary multivariate time series
• EM algorithms for ML factor analysis
• Factor analysis parameter estimation from incomplete data
• Finite mixture models
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• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Inferential Theory for Factor Models of Large Dimensions
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Measuring the efficiency of decision making units
• Smoothing and Interpolation with the State-Space Model
• Statistical algorithms for models in state space using SsfPack 2.2
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• The diffuse Kalman filter
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The Generalized Dynamic Factor Model
• The use of data envelopment analysis in the regulation of UK water utilities: Water distribution
• Time series analysis by state space methods
• Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data

Describes a project that uses

Uses Software

• SsfPack

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