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
Englisch

Bibliographic citation
Series: Tinbergen Institute Discussion Paper ; No. 98-001/4

Classification
Wirtschaft
Subject
Dynamisches Modell
Theorie

Event
Geistige Schöpfung
(who)
Heij, C.
Scherrer, W.
Deistler, M.
Event
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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Object type

  • Arbeitspapier

Associated

  • Heij, C.
  • Scherrer, W.
  • Deistler, M.
  • Tinbergen Institute

Time of origin

  • 1998

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