On a new procedure for identifying a dynamic common factor model

DOI10.15446/RCE.V44N1.84816zbMath1470.62129OpenAlexW4312262889MaRDI QIDQ5009653

Fabio H. Nieto, Stevenson Bolívar, Daniel Peña

Publication date: 5 August 2021

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v44n1.84816

zbMATH Keywords

multivariate time seriescanonical correlationsdynamic common factors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

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• Factor modeling for high-dimensional time series: inference for the number of factors
• Nonstationary dynamic factor analysis
• Common seasonality in multivariate time series
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• Identifying a Simplifying Structure in Time Series
• Likelihood‐based dynamic factor analysis for measurement and forecasting
• Elements of multivariate time series analysis.

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