Verallgemeinerte Faktormodelle

01.08.2008 - 30.11.2012
Forschungsförderungsprojekt

Generalized linear dynamic factor models are analysed. These models have been developed recently and they are used for analysis and forecasting of high dimensional time series in order to overcome the ¿curse of dimensionality¿. We develop a structure theory, with emphasis on the zeroless case, which is generic in the setting considered. Accordingly the latent variables are modeled as a singular autoregressive process and (generalized) Yule Walker equations are used for estimation.

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Institut

Grant funds

  • FWF - Österr. Wissenschaftsfonds (National) Stand-Alone Project Austrian Science Fund (FWF)

Forschungsschwerpunkte

  • Beyond TUW-research focus: 40%
  • Mathematical and Algorithmic Foundations: 40%
  • Computer Science Foundations: 20%

Schlagwörter

DeutschEnglisch
Analyse hochdimensionaler ZeitreihenAnalysis of high dimensional time series
Generalisierte FaktormodelleGeneralized factor models
SystemtheorieSystem theory
Abschätzung und ModellselektionEstimation and model selection
Makroökonomische und finanzielle PrognoseForecasting macro-economic and financial

Publikationen