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Generalized Linear Dynamic Factor Models: An Approach via Singular Autoregressions

Deistler, Manfred; Anderson, Brian; Filler, Alexander; Zinner, Ch.; Chen, Weitian


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...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
Source: European Journal of Control
DOI: 10.3166/EJC.16.211-224


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