A state-space approach to time-varying reduced-rank regression
Year of publication: |
2022
|
---|---|
Authors: | Brune, Barbara ; Scherrer, Wolfgang ; Bura, Efstathia |
Subject: | EM-algorithm | Kalman filter | time-varying parameters | vector error correction model | Zustandsraummodell | State space model | Kointegration | Cointegration | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätzung | Estimation | Regressionsanalyse | Regression analysis |
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