A spectral EM algorithm for dynamic factor models

Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana

Year of publication:	2016
Authors:	Fiorentini, Gabriele ; Galesi, Alessandro ; Sentana, Enrique
Publisher:	Madrid : Banco de España
Subject:	indirect inference \| Kalman filter \| sectoral employment \| spectral maximum likelihood \| Wiener-Kolmogorov filter \| Zustandsraummodell \| State space model \| Zeitreihenanalyse \| Time series analysis \| Beschäftigungsstruktur \| Employment distribution \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Schätztheorie \| Estimation theory \| Fourier-Analyse \| Fourier analysis

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