Generalized linear dynamic factor models - a structure theory

— 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.

• Type: Conference
• Year: 2008
• Where: CDC
• Authors: Brian D. O. Anderson, Manfred Deistler
• Keywords: CDC 2008, Control Systems, Linear Dynamic Factor, So-called Zeroless Case, Time Series