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Generalized Linear Dynamic Factor Models - A Structure Theory

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dc.contributor.authorAnderson, Brian
dc.contributor.authorDeistler, Manfred
dc.coverage.spatialCancun Mexico
dc.date.accessioned2015-12-10T22:35:20Z
dc.date.createdDecember 9-11 2008
dc.date.issued2008
dc.date.updated2016-02-24T11:00:05Z
dc.description.abstractIn 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.
dc.identifier.isbn9781424431243
dc.identifier.urihttp://hdl.handle.net/1885/56247
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE Inc)
dc.relation.ispartofseriesIEEE Conference on Decision and Control 2008
dc.sourceProceedings of IEEE Conference on Decision and Control 2008
dc.subjectKeywords: Curse of dimensionalities; Linear dynamics; Multivariate time series; Single time series; Structure theories; Time series
dc.titleGeneralized Linear Dynamic Factor Models - A Structure Theory
dc.typeConference paper
local.bibliographicCitation.lastpage1985
local.bibliographicCitation.startpage1980
local.contributor.affiliationAnderson, Brian, College of Engineering and Computer Science, ANU
local.contributor.affiliationDeistler, Manfred, Vienna University of Technology
local.contributor.authoruidAnderson, Brian, u8104642
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor010203 - Calculus of Variations, Systems Theory and Control Theory
local.identifier.ariespublicationu4334215xPUB356
local.identifier.doi10.1109/CDC.2008.4739367
local.identifier.scopusID2-s2.0-62949117043
local.type.statusPublished Version

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