Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models

DOI10.1111/jtsa.12568zbMath1468.62353OpenAlexW3097392361MaRDI QIDQ4997699

Gilles Nisol, Siegfried Hörmann

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12568

zbMATH Keywords

regularizationforecastingdynamic factor modelvector autoregressive (VAR) processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric hypothesis testing (62G10) Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Inferential theory for generalized dynamic factor models

Cites Work

• Unnamed Item
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Autoregressive models of singular spectral matrices
• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Determining the Number of Factors in the General Dynamic Factor Model
• Solutions of Yule-Walker equations for singular AR processes

This page was built for publication: Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models