Displaying similar documents to “A dynamic factor model for economic time series”

The formulation of structural time series models in discrete and continuous time.

Andrew C. Harvey (1983)

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This paper sets out an approach for modelling univariate time series, including those in which observations are available on a daily basis. An underlying continuous time model is formulated and it is shown that this model has important implications for the way in which a discrete model is set up. It is also shown that the continuous time model allows observations subject to temporal aggregation and irregularly spaced observations to be handled relatively easily. The extension to cases...

Multivariate statistical models; solvability of basic problems

Lubomír Kubáček (2010)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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Multivariate models frequently used in many branches of science have relatively large number of different structures. Sometimes the regularity condition which enable us to solve statistical problems are not satisfied and it is reasonable to recognize it in advance. In the paper the model without constraints on parameters is analyzed only, since the greatness of the class of such problems in general is out of the size of the paper.

Factor analysis and information criteria.

Michele Costa (1996)

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In this paper the research of the true number of latent factors in exploratoty factor analysis model is studied through a comparison between the log likelihood ratio test statistics, the information criteria of Akaike, Schwarz and Hannah-Quinn and a procedure of cross-validation. In a simulation study the a priori knowledge of the exact factor structure is used to evaluate the goodness of the different methods.