A Spectral EM Algorithm for Dynamic Factor Models

SSRN Electronic Journal
doi 10.2139/ssrn.2845794
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Dynamic Specification Tests for Dynamic Factor Models

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2019English

A Spectrum Matching Algorithm Based on Dynamic Spectral Distance

2015English

Empirical Bayes Methods for Dynamic Factor Models

Review of Economics and Statistics
EconomicsEconometricsSocial Sciences
2017English

Dynamic Factor Models for the Volatility Surface

SSRN Electronic Journal
2015English

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics
EconomicsEconometrics
2016English

Non-Stationary Dynamic Factor Models for Large Datasets

Finance and Economics Discussion Series
2016English

Dynamic Factor Models: A Review of the Literature

SSRN Electronic Journal
2013English

A New REML (Parameter Expanded) EM Algorithm for Linear Mixed Models

Australian and New Zealand Journal of Statistics
UncertaintyStatisticsProbability
2017English

Modification of a Model Reduction Algorithm for Switched Dynamic Models: Synchronous Generator Case

2015English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2026 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy