Zobrazeno 1 - 1
of 1
pro vyhledávání: '"Primary: 62M10. Secondary: 15A24, 65F45"'
A dynamic factor model with factor series following a VAR$(p)$ model is shown to have a VARMA$(p,p)$ model representation. Reduced-rank structures are identified for the VAR and VMA components of the resulting VARMA model. It is also shown how the VM
Externí odkaz:
http://arxiv.org/abs/2307.09974
