Time Series in High Dimension: the General Dynamic Factor Model
Title | Time Series in High Dimension: the General Dynamic Factor Model PDF eBook |
Author | Marc Hallin |
Publisher | World Scientific Publishing Company |
Pages | 764 |
Release | 2020-03-30 |
Genre | Business & Economics |
ISBN | 9789813278004 |
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-dimensional Time Series
Title | Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-dimensional Time Series PDF eBook |
Author | Marc Hallin |
Publisher | |
Pages | 0 |
Release | 2022 |
Genre | |
ISBN |
Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space
Title | Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space PDF eBook |
Author | Carlos Trucíos |
Publisher | |
Pages | 33 |
Release | 2020 |
Genre | |
ISBN |
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. Being second-order models, however, they are sensitive to the presence of outliers--an issue that has not been analyzed so far in the general case of dynamic factors with possibly infinite-dimensional factor spaces (Forni et al.~2000, 2015, 2017). In this paper, we consider this robustness issue and study the impact of additive outliers on the identification, estimation, and forecasting performance of general dynamic factor models. Based on our findings, we propose robust versions of identification, estimation and forecasting procedures. The finite-sample performance of our methods is evaluated via Monte Carlo experiments and successfully applied to a classical dataset of 115 US macroeconomic and financial time series.
The Oxford Handbook of Economic Forecasting
Title | The Oxford Handbook of Economic Forecasting PDF eBook |
Author | Michael P. Clements |
Publisher | OUP USA |
Pages | 732 |
Release | 2011-07-08 |
Genre | Business & Economics |
ISBN | 0195398645 |
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Time Series Models
Title | Time Series Models PDF eBook |
Author | Manfred Deistler |
Publisher | Springer Nature |
Pages | 213 |
Release | 2022-10-21 |
Genre | Mathematics |
ISBN | 3031132130 |
This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.
Dynamic Factor Models
Title | Dynamic Factor Models PDF eBook |
Author | Jörg Breitung |
Publisher | |
Pages | 29 |
Release | 2005 |
Genre | |
ISBN | 9783865580979 |
Dynamic Linear Models with R
Title | Dynamic Linear Models with R PDF eBook |
Author | Giovanni Petris |
Publisher | Springer Science & Business Media |
Pages | 258 |
Release | 2009-06-12 |
Genre | Mathematics |
ISBN | 0387772383 |
State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.