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

DOI10.1111/JTSA.12568zbMATH Open1468.62353OpenAlexW3097392361MaRDI QIDQ4997699FDOQ4997699

Authors: Siegfried Hörmann, Gilles Nisol 

Publication date: 30 June 2021

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

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

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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)

Cites Work

• Title not available (Why is that?)
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Determining the Number of Factors in the General Dynamic Factor Model
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Solutions of Yule-Walker equations for singular AR processes
• Autoregressive models of singular spectral matrices
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis

Cited In (5)

• Inferential theory for generalized dynamic factor models
• Title not available (Why is that?)
• 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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