Dynamic factor analysis models with time-varying parameters offer a valuable tool for evaluating multivariate time series data with time-varying dynamics and/or measurement properties. We use the Dynamic Model of Activation proposed by Zautra and colleagues (Zautra, Potter, & Reich, 1997) as a motivating example to construct a dynamic factor model with vector autoregressive relations and time-v...

In this contribution we present a structure theory for generalized linear dynamic factor models. Generalized dynamic factor models have been proposed approximately a decade ago for modeling of high dimensional time series where the cross sectional dimension is of the same order of magnitude as the sample size. In these models the classical assumption for factor models, that the noise components...

This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. These models are especially relevant for applications to large portfolios of credits, corporate bonds, or life insurance contracts, and are recommended in the current regulation in Finance (Basel II and Basel III) and Insurance (Solvency II). The specificatio...

This paper is concerned with linear dynamic factor models. In such models the observed process is decomposed into a structured part called the latent process, and a remainder that is called noise. The observed variables are treated in a symmetric way, so that no distinction between inputs and outputs is required. This motivates the condition that also the prior assumptions on the noise are symm...

Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts often resulted in a trade-off between goodness of fit and consistency with economic theory. To address this, herein we propose a novel formulation which conn...

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based on timing restrictions, long run restrictions, and restrictions on factor loadings are discussed and...

seismic behavior of a rockfill dam with asphalt-concrete core has been studied utilizing numerical models with material parameters determined by laboratory tests. the case study selected for these analyses, is the meyjaran asphalt core dam, recently constructed in northern iran, with 60 m height and 180 m crest length. the numerical analyses have been performed using a nonlinear three dimension...

operational variables of a mineral processing circuit are subjected to different variations. steady-statesimulation of processes provides an estimate of their ideal stable performance whereas their dynamicsimulation predicts the effects of the variations on the processes or their subsequent processes. in thispaper, a dynamic simulator containing some of the major equipment of mineral processing...