A computational method for estimating continuum factor models

zbMath0892.62071MaRDI QIDQ1389255

S. Sjostedt, Anders Barrlund

Publication date: 14 June 1998

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

consistencyforecastingautoregressive modelvector time seriesnon-linear optimizationGauss-Newton procedurehidden factors, canonical factor problem

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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