Generalized linear dynamic factor models - An approach via singular autoregressions

A. Filler; M. Deistler; B. D.O. Anderson; Ch Zinner; W. Chen

doi:10.23919/ecc.2009.7074569

Generalized linear dynamic factor models - An approach via singular autoregressions

A. Filler, M. Deistler, B. D.O. Anderson, Ch Zinner, W. Chen

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

Abstract

We consider generalized linear dynamic factor models. These models have been developed recently and they are used for high dimensional time series in order to overcome the 'curse of dimensionality'. We present a structure theory with emphasis on the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a possibly singular autoregressive process and (generalized) Yule Walker equations are used for parameter estimation.

Original language	English
Title of host publication	2009 European Control Conference, ECC 2009
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1203-1208
Number of pages	6
ISBN (Electronic)	9783952417393
DOIs	https://doi.org/10.23919/ecc.2009.7074569
Publication status	Published - 26 Mar 2014
Event	10th European Control Conference: ECC 2009 - Budapest, Hungary Duration: 23 Aug 2009 → 26 Aug 2009 Conference number: 10th http://ieeexplore.ieee.org/document/7074402/ http://ieeexplore.ieee.org/document/7074461/

Publication series

Name	2009 European Control Conference, ECC 2009

Conference

Conference	10th European Control Conference: ECC 2009
Abbreviated title	ECC
Country/Territory	Hungary
City	Budapest
Period	23/08/09 → 26/08/09
Internet address	http://ieeexplore.ieee.org/document/7074402/ http://ieeexplore.ieee.org/document/7074461/

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10.23919/ecc.2009.7074569

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Filler, A., Deistler, M., Anderson, B. D. O., Zinner, C., & Chen, W. (2014). Generalized linear dynamic factor models - An approach via singular autoregressions. In 2009 European Control Conference, ECC 2009 (pp. 1203-1208). Article 7074569 (2009 European Control Conference, ECC 2009). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.23919/ecc.2009.7074569

@inproceedings{05a7ebeb881840d4810b0e317b7d61d6,

title = "Generalized linear dynamic factor models - An approach via singular autoregressions",

abstract = "We consider generalized linear dynamic factor models. These models have been developed recently and they are used for high dimensional time series in order to overcome the 'curse of dimensionality'. We present a structure theory with emphasis on the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a possibly singular autoregressive process and (generalized) Yule Walker equations are used for parameter estimation.",

author = "A. Filler and M. Deistler and Anderson, {B. D.O.} and Ch Zinner and W. Chen",

note = "Publisher Copyright: {\textcopyright} 2009 EUCA.; 10th European Control Conference: ECC 2009, ECC ; Conference date: 23-08-2009 Through 26-08-2009",

year = "2014",

month = mar,

day = "26",

doi = "10.23919/ecc.2009.7074569",

language = "English",

series = "2009 European Control Conference, ECC 2009",

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

pages = "1203--1208",

booktitle = "2009 European Control Conference, ECC 2009",

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url = "http://ieeexplore.ieee.org/document/7074402/, http://ieeexplore.ieee.org/document/7074461/",

}

Filler, A, Deistler, M, Anderson, BDO, Zinner, C & Chen, W 2014, Generalized linear dynamic factor models - An approach via singular autoregressions. in 2009 European Control Conference, ECC 2009., 7074569, 2009 European Control Conference, ECC 2009, Institute of Electrical and Electronics Engineers Inc., pp. 1203-1208, 10th European Control Conference: ECC 2009, Budapest, Hungary, 23/08/09. https://doi.org/10.23919/ecc.2009.7074569

Generalized linear dynamic factor models - An approach via singular autoregressions. / Filler, A.; Deistler, M.; Anderson, B. D.O. et al.
2009 European Control Conference, ECC 2009. Institute of Electrical and Electronics Engineers Inc., 2014. p. 1203-1208 7074569 (2009 European Control Conference, ECC 2009).

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

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AU - Deistler, M.

AU - Anderson, B. D.O.

AU - Zinner, Ch

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N2 - We consider generalized linear dynamic factor models. These models have been developed recently and they are used for high dimensional time series in order to overcome the 'curse of dimensionality'. We present a structure theory with emphasis on the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a possibly singular autoregressive process and (generalized) Yule Walker equations are used for parameter estimation.

AB - We consider generalized linear dynamic factor models. These models have been developed recently and they are used for high dimensional time series in order to overcome the 'curse of dimensionality'. We present a structure theory with emphasis on the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a possibly singular autoregressive process and (generalized) Yule Walker equations are used for parameter estimation.

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DO - 10.23919/ecc.2009.7074569

M3 - Conference contribution

T3 - 2009 European Control Conference, ECC 2009

SP - 1203

EP - 1208

BT - 2009 European Control Conference, ECC 2009

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 10th European Control Conference: ECC 2009

Y2 - 23 August 2009 through 26 August 2009

ER -

Generalized linear dynamic factor models - An approach via singular autoregressions

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