[Zurück]

M. Deistler, Brian Anderson, E. Felsenstein, A. Filler, B. Funovits, M. Zamani:
"Generalized Linear Dynamic Factor Models - The Single and the Mixed Frequency Case";
Vortrag: RSISE Seminar, Canberra, Australien (eingeladen); 09.11.2012.

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 acurse of dimensionalitya. We present a structure theory with em- phasis on the zeroless case, which is generic in the setting considered. Modelling of the latent variables is decomposed into two steps, first the transformation of the latent variables to static factors by a linear static transformation. Then, in the second step, modelling of the static factors as a possibly singular autoregres- sive process. The (generalized) Yulea"Walker equations are used for parameter estimation. The Yulea"Walker equations do not necessarily have a unique solu- tion in the singular case, and the resulting complexities are examined with a view to find a stable and coprime system. Finally, some preliminary results for the mixed frequency case are presented.

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