Skip navigation
Skip navigation

Singular Autoregressions for Generalized Dynamic Factor Models

Deistler, Manfred; Filler, Alexander; Anderson, Brian; Chen, Weitian; Felsenstein, Elisabeth


We consider Generalized Linear Dynamic Factor Models in a stationary context, where the latent variables and thus the static and dynamic factors are the sum of a linearly regular and a linearly singular stationary process and the noise process is linearly regular. The linearly singular component may be useful for modeling e.g. business cycles or seasonal fluctuations in the observed variables. We present a structure theory for this case. The emphasis is laid on the autoregressive case. In...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Conference paper
Source: IEEE Conference on Decision and Control 2010 Proceedings
DOI: 10.1109/CDC.2010.5718025


File Description SizeFormat Image
01_Deistler_Singular_Autoregressions_for_2010.pdf151.96 kBAdobe PDF    Request a copy

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

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator