Generalized linear dynamic factor models: an approach via singular autoregressions
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Publication:2638166
DOI10.3166/EJC.16.211-224zbMath1198.93215MaRDI QIDQ2638166
Alexander Filler, Weitan Chen, Brian D. O. Anderson, Manfred Deistler, Christiane Zinner
Publication date: 14 September 2010
Published in: European Journal of Control (Search for Journal in Brave)
high dimensional time seriesgeneralized dynamic factor models(generalized) Yule-Walker equationssingular AR system
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)
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