[Zurück]

M. Deistler, Brian Anderson, A. Filler, W. Chen, B. Funovits, E. Felsenstein:
"Generalized Dynamic Factor Models";
Vortrag: National Research Network (NFN) Meeting "Geometry + Simulation", Strobl/Wolfgangsee, Österreich (eingeladen); 01.10.2013 - 04.10.2013.

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.