High-dimensional dynamic factor models: a selective survey and lines of future research

Autor:	Lippi, Marco, Deistler, Manfred, Anderson, Brian
Rok vydání:	2022
Předmět:	Electrical Engineering and Systems Science - Systems and Control Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed.The emphasis of the paper is on model classes and their structure theory, rather than on estimation in the narrow sense. Our aim is not a comprehensive survey. Rather we try to point out promising lines of research and applications that have not yet been sufficiently developed. Comment: 28 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2202.07745 Zobrazit plný text záznamu View this record from Arxiv