Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis

MaRDI QIDQ5149181zbMATH OpenFDO

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

Publication date 6 February 2021

zbMATH Keywords

high-dimensional time seriesgeneralized dynamic factor modelsvector processes with singular spectral densityconsistency and ratesone-sided representations of dynamic factor models

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) Inference from stochastic processes and spectral analysis (62M15)

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• scientific article; zbMATH DE number 7307121 (Why is no real title available?)
• Infinite-dimensional VARs and factor models

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