Prediction of singular VARs and an application to generalized dynamic factor models

DOI10.1111/JTSA.12568MaRDI QIDQ4997699zbMATH OpenOpenAlexFDO

Authors Siegfried Hörmann, Gilles Nisol

Publication date 30 June 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12568

zbMATH Keywords

forecastingregularizationdynamic factor modelvector autoregressive (VAR) processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• Autoregressive models of singular spectral matrices
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Solutions of Yule-Walker equations for singular AR processes
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case

Cited in

(5)

• Inferential theory for generalized dynamic factor models
• scientific article; zbMATH DE number 4022413 (Why is no real title available?)
• Identifiability of structural singular vector autoregressive models
• Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions
• Generalized linear dynamic factor models: an approach via singular autoregressions

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