• DocumentCode
    2254416
  • 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
  • fYear
    2008
  • fDate
    9-11 Dec. 2008
  • Firstpage
    1980
  • Lastpage
    1985
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
  • Conference_Location
    Cancun
  • ISSN
    0191-2216
  • Print_ISBN
    978-1-4244-3123-6
  • Electronic_ISBN
    0191-2216
  • Type

    conf

  • DOI
    10.1109/CDC.2008.4739367
  • Filename
    4739367
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2254416