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Reducing the state space dimension in a large TVP-VAR - MaRDI portal

Reducing the state space dimension in a large TVP-VAR (Q2190242)

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English
Reducing the state space dimension in a large TVP-VAR
scientific article

    Statements

    title
    Reducing the state space dimension in a large TVP-VAR (English)
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    author
    Joshua C. C. Chan
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    Eric Eisenstat
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    Rodney W. Strachan
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    publication date
    18 June 2020
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    zbMATH Keywords
    large VAR
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    time varying parameter
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    reduced rank covariance matrix
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62F15
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    62P20
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    62-08
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    zbMATH DE Number
    7213065
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    OpenAlex ID
    W2995027080
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