Dynamic factor models with infinite-dimensional factor spaces: one-sided representations

MaRDI QIDQ5149180zbMATH OpenFDO

Authors Mario Forni, Marc Hallin, Marco Lippi, Paolo Zaffaroni

Publication date 6 February 2021

zbMATH Keywords

generalized dynamic factor modelsone-sided representations for dynamic factor modelsvector processes with singular spectral density

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• The general dynamic factor model: one-sided representation results
• The generalized dynamic factor model: representation theory

Cited in

(6)

• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
• scientific article; zbMATH DE number 7307121 (Why is no real title available?)
• Infinite-dimensional autoregressive systems and the generalized dynamic factor model
• The general dynamic factor model: one-sided representation results

This page was built for publication: Dynamic factor models with infinite-dimensional factor spaces: one-sided representations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5149180)