Generalized Linear Dynamic Factor Models: An Approach via Singular Autoregressions
نویسندگان
چکیده
منابع مشابه
Comment on “Generalised Linear Dynamic Factor Models - An Approach via Singular Autoregressions”
While this paper makes an important contribution in a systems and control context, it is also a fascinating example of bi-directional contribution between that field, and the field of econometrics. More specifically, the genesis of the paper arises in economic and financial modeling scenarios where the dimension N of the vector of system measurements y t can be large, and possibly bigger than t...
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ژورنال
عنوان ژورنال: European Journal of Control
سال: 2010
ISSN: 0947-3580
DOI: 10.3166/ejc.16.211-224