Open AccessPeriodic dynamic factor models: estimation approaches and applications
Author(s) -
Changryong Baek,
Richard A. Davis,
Vladas Pipiras
Publication year - 2018
Publication title -
electronic journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/18-ejs1518
Subject(s) - autoregressive model , dynamic factor , multivariate statistics , mathematics , factor analysis , series (stratigraphy) , factor (programming language) , estimation , vector autoregression , computer science , econometrics , statistics , engineering , paleontology , systems engineering , biology , programming language