Likelihood-based Analysis for Dynamic Factor Models
Year of publication: |
2008
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Authors: | Jungbacker, Borus ; Koopman, Siem Jan |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Maximum-Likelihood-Methode | Faktorenanalyse | Zustandsraummodell | Monte-Carlo-Methode | Markovscher Prozess | Theorie | EM algorithm | Kalman Filter | Forecasting | Latent Factors | Markov chain Monte Carlo | Principal Components | State Space |
Series: | Tinbergen Institute Discussion Paper ; 08-007/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 837937663 [GVK] hdl:10419/86765 [Handle] RePEc:dgr:uvatin:20080007 [RePEc] |
Classification: | C33 - Models with Panel Data ; C43 - Index Numbers and Aggregation |
Source: |
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus, (2008)
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Likelihood-based Analysis for Dynamic Factor Models
Jungbacker, Borus, (2008)
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Likelihood-based Analysis for Dynamic Factor Models
Jungbacker, Borus, (2008)
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Koopman, Siem Jan, (2004)
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On Importance Sampling for State Space Models
Jungbacker, Borus, (2005)
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Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus, (2009)
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