Generalized linear dynamic factor models: an approach via singular autoregressions

DOI10.3166/EJC.16.211-224MaRDI QIDQ2638166zbMATH OpenFDO

Authors Brian D. O. Anderson, Alexander Filler, Weitan Chen, Manfred Deistler, Christiane Zinner

Publication date 14 September 2010

Published in European Journal of Control (Search for Journal in Brave)

zbMATH Keywords

high dimensional time seriesgeneralized dynamic factor models(generalized) Yule-Walker equationssingular AR system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

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• Weak and strong cross-section dependence and estimation of large panels
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