Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis
zbMATH Open1476.62183MaRDI QIDQ5149181FDOQ5149181
Authors: Mario Forni, Marc Hallin, Marco Lippi, Paolo Zaffaroni 
Publication date: 6 February 2021
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high-dimensional time seriesgeneralized dynamic factor modelsvector processes with singular spectral densityconsistency and ratesone-sided representations of dynamic factor models
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)
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- Generalized infinite factorization models
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
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- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- The generalized dynamic factor model: one-sided estimation and forecasting
- Efficient estimation of nonstationary factor models
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Title not available (Why is that?)
- Infinite-dimensional VARs and factor models
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