A spectral EM algorithm for dynamic factor models
DOI10.1016/j.jeconom.2018.03.013zbMath1452.62630OpenAlexW3122734065MaRDI QIDQ1754525
Alessandro Galesi, Gabriele Fiorentini, Enrique Sentana
Publication date: 31 May 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/16/Fich/dt1619e.pdf
Kalman filterindirect inferencesectoral employmentWiener-Kolmogorov filterspectral maximum likelihood
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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