Arbeitspapier
System Identification by Dynamic Factor Models
This paper is concerned with linear dynamic factor models. In such models the observed process is decomposed into a structural part called the latent process, and a remainder that is called noise. The observed variables are treated in a symmetric way, so that no distinction between inputs and outputs is required. This motivates the condition that also the prior assumptions on the noise are symmetric in nature. We investigate the relation between optimalmodels and the spectrum of the observed process. This concerns in particular properties of continuity and consistency. Several possible noise specifications and measures of fit are considered.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 98-001/4
- Classification
-
Wirtschaft
- Subject
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Dynamisches Modell
Theorie
- Event
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Geistige Schöpfung
- (who)
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Heij, C.
Scherrer, W.
Deistler, M.
- Event
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Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1998
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Heij, C.
- Scherrer, W.
- Deistler, M.
- Tinbergen Institute
Time of origin
- 1998
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