High-dimensional conditionally Gaussian state space models with missing data
Year of publication: |
2023
|
---|---|
Authors: | Chan, Joshua ; Poon, Aubrey ; Zhu, Dan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 236.2023, 1, p. 1-21
|
Subject: | Mixed-frequency | Unbalanced panel | Vector autoregression | Dynamic factor model | Stochastic volatility | Zustandsraummodell | State space model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Panel | Panel study | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model |
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