Skip navigation
Skip navigation

Generalized Linear Dynamic Factor Models: An Approach via Singular Autoregressions

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

Description

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
URI: http://hdl.handle.net/1885/58661
Source: European Journal of Control
DOI: 10.3166/EJC.16.211-224

Download

File Description SizeFormat Image
01_Deistler_Generalized_Linear_Dynamic_2010.pdf209.89 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  12 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator