Title :
Generalized linear dynamic factor models - a structure theory
Author :
Anderson, B.D.O. ; Deistler, M.
Author_Institution :
Dept. of Inf. Eng., Australian Nat. Univ., Canberra, ACT, Australia
Abstract :
In this paper we present a structure theory for generalized linear dynamic factor models (GDFM¿s). Emphasis is laid on the so-called zeroless case. GDFM¿s provide a way of overcoming the ¿curse of dimensionality¿ plaguing multivariate time series modelling, provided that the single time series are similar. They are used in modelling and forecasting for financial and macroeconomic time series.
Keywords :
multivariable control systems; time series; curse of dimensionality; financial time series; generalized linear dynamic factor models; macroeconomic time series; multivariate time series modelling; structure theory; zeroless case; Economic forecasting; Electric shock; Finance; Macroeconomics; Predictive models; Psychology; Testing;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4739367
