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Zeitschriftenartikel:

M. Deistler, Brian Anderson, W. Chen, A. Filler, C. Zinner:
"Generalized Linear Dynamic Factor Models - An Approach via Singular Autoregressions";
European Journal of Control, 16 (2010), 3; S. 211 - 224.



Kurzfassung englisch:
We consider generalized linear dynamic factor models. These models have been developed recently and they are used for
high dimensional time series in order to overcome the "curse of dimensionality". We present a structure theory with emphasis on
the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a possibly singular
autoregressive process and (generalized) Yule-Walker equations are used for parameter estimation. The Yule-Walker equations do
not necessarily have a unique solution in the singular case, and the resulting complexities are examined with a view to find a
stable and coprime system.

Schlagworte:
High Dimensional Time Series, Generalized Dynamic Factor Models, Singular AR System, (Generalized) Yule-Walker


"Offizielle" elektronische Version der Publikation (entsprechend ihrem Digital Object Identifier - DOI)
http://dx.doi.org/10.3166/ejc.16.211-224

Elektronische Version der Publikation:
http://publik.tuwien.ac.at/files/PubDat_183808.pdf


Erstellt aus der Publikationsdatenbank der Technischen Universitšt Wien.