Generalized linear dynamic factor models - A structure theory

B. D.O. Anderson; M. Deistler

doi:10.1109/CDC.2008.4739367

Generalized linear dynamic factor models - A structure theory

B. D.O. Anderson, M. Deistler

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

25 Citations (Scopus)

Abstract

In this paper we present a structure theory for generalized linear dynamic factor models (GDFM's). Emphasis is laid on the so-called zeroless case. GDFM's provide a way of overcoming the "curse of dimensionality" plaguing multivariate time series modelling, provided that the single time series are similar. They are used in modelling and forecasting for financial and macroeconomic time series.

Original language	English
Title of host publication	Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1980-1985
Number of pages	6
ISBN (Print)	9781424431243
DOIs	https://doi.org/10.1109/CDC.2008.4739367
Publication status	Published - 2008
Event	47th IEEE Conference on Decision and Control, CDC 2008 - Cancun, Mexico Duration: 9 Dec 2008 → 11 Dec 2008

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Conference

Conference	47th IEEE Conference on Decision and Control, CDC 2008
Country/Territory	Mexico
City	Cancun
Period	9/12/08 → 11/12/08

Access to Document

10.1109/CDC.2008.4739367

Cite this

Anderson, B. D. O., & Deistler, M. (2008). Generalized linear dynamic factor models - A structure theory. In Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008 (pp. 1980-1985). Article 4739367 (Proceedings of the IEEE Conference on Decision and Control). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2008.4739367

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title = "Generalized linear dynamic factor models - A structure theory",

abstract = "In this paper we present a structure theory for generalized linear dynamic factor models (GDFM's). Emphasis is laid on the so-called zeroless case. GDFM's provide a way of overcoming the {"}curse of dimensionality{"} plaguing multivariate time series modelling, provided that the single time series are similar. They are used in modelling and forecasting for financial and macroeconomic time series.",

author = "Anderson, {B. D.O.} and M. Deistler",

year = "2008",

doi = "10.1109/CDC.2008.4739367",

language = "English",

isbn = "9781424431243",

series = "Proceedings of the IEEE Conference on Decision and Control",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "1980--1985",

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note = "47th IEEE Conference on Decision and Control, CDC 2008 ; Conference date: 09-12-2008 Through 11-12-2008",

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Anderson, BDO & Deistler, M 2008, Generalized linear dynamic factor models - A structure theory. in Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008., 4739367, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 1980-1985, 47th IEEE Conference on Decision and Control, CDC 2008, Cancun, Mexico, 9/12/08. https://doi.org/10.1109/CDC.2008.4739367

Generalized linear dynamic factor models - A structure theory. / Anderson, B. D.O.; Deistler, M.
Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008. Institute of Electrical and Electronics Engineers Inc., 2008. p. 1980-1985 4739367 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Generalized linear dynamic factor models - A structure theory

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