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Generalized Linear Dynamic Factor Models - A Structure Theory

Anderson, Brian; Deistler, Manfred


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.

CollectionsANU Research Publications
Date published: 2008
Type: Conference paper
Source: Proceedings of IEEE Conference on Decision and Control 2008
DOI: 10.1109/CDC.2008.4739367


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