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  • Search: subject:"Spectral factorization"
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Year of publication
Subject
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Time series analysis 8 Zeitreihenanalyse 8 Spectral factorization 7 VAR model 6 VAR-Modell 6 ARMA model 5 ARMA-Modell 5 Theorie 5 Theory 5 matrix spectral factorization 5 Linear algebra 4 Lineare Algebra 4 State space model 4 Zustandsraummodell 4 Estimation theory 3 Schätztheorie 3 Stochastic process 3 Stochastischer Prozess 3 block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation 3 Continuous time stochastic control 2 Error bound 2 Fourier transform methods 2 Frequency domain 2 Jordan product 2 Level set 2 Long-run identification 2 Merit function 2 Non-parametric estimation 2 Second-order cone 2 Structural VAR 2 block-Vandermonde eigenvectors of block-companion state-transition 2 matrix of state-space representation 2 Aktionäre 1 Block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation 1 Canonical correlations 1 Cointegration 1 Correlation 1 Dynamic obfuscation 1 Echelon form 1 Eigentümerstruktur 1
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Online availability
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Undetermined 8 Free 5
Type of publication
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Article 9 Book / Working Paper 5
Type of publication (narrower categories)
All
Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 10 Undetermined 4
Author
All
Zadrozny, Peter A. 5 Chen, Jein-Shan 2 Mertens, Elmar 2 Taub, Bart 2 Poskitt, Donald Stephen 1 Wilson, G. Tunnicliffe 1 Zadrosny, Peter A. 1
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Published in...
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Journal of econometrics 2 Annals of finance 1 BLS working papers 1 CESifo Working Paper 1 CESifo working papers 1 CFS Working Paper Series 1 CFS working paper series 1 Computational Statistics 1 Economic theory bulletin 1 Journal of Economic Dynamics and Control 1 Journal of Multivariate Analysis 1 Journal of economic dynamics & control 1 Mathematical Methods of Operations Research 1
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Source
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ECONIS (ZBW) 8 RePEc 4 EconStor 2
Showing 1 - 10 of 14
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Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data.
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011480467
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Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrosny, Peter A. - 2016
Persistent link: https://www.econbiz.de/10011539924
Saved in:
Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174
Saved in:
Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed frequency data
Zadrozny, Peter A. - 2015
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011412895
Saved in:
Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed frequency data
Zadrozny, Peter A. - 2015
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011411362
Saved in:
Cover Image
Economic and financial modeling techniques in the frequency domain
Taub, Bart - In: Economic theory bulletin 7 (2019) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012108598
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Inconspicuousness and obfuscation : how large shareholders dynamically manipulate output and information for trading purposes
Taub, Bart - In: Annals of finance 14 (2018) 4, pp. 429-464
Persistent link: https://www.econbiz.de/10012268311
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Vector autoregressive moving average identification for macroeconomic modeling : a new methodology
Poskitt, Donald Stephen - In: Journal of econometrics 192 (2016) 2, pp. 468-484
Persistent link: https://www.econbiz.de/10011704730
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Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A. - In: Journal of econometrics 193 (2016) 2, pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
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Are spectral estimators useful for long-run restrictions in SVARs?
Mertens, Elmar - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1831-1844
, this paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot …
Persistent link: https://www.econbiz.de/10010580802
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