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Singular Autoregressions for Generalized Dynamic Factor Models

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

Description

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
URI: http://hdl.handle.net/1885/59660
Source: IEEE Conference on Decision and Control 2010 Proceedings
DOI: 10.1109/CDC.2010.5718025

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