High-dimensional conditionally Gaussian state space models with missing data
Joshua C.C. Chan, Aubrey Poon, Dan Zhu
| Year of publication: |
2023
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|---|---|
| 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
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| Subject: | Mixed-frequency | Unbalanced panel | Vector autoregression | Dynamic factor model | Stochastic volatility | Zustandsraummodell | State space model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | VAR-Modell | VAR model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Panel | Panel study |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.05.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014332310