Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Year of publication: |
2014
|
---|---|
Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Mallee, Max I. P. |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | minimal entropy martingale measure | asymptotic theory | forecasting | Kalman filter | nowcasting | state space | Zustandsraummodell | State space model | Theorie | Theory | Prognoseverfahren | Forecasting model | Entropie | Entropy | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis |
Extent: | Online-Ressource (49 S.) graph. Darst. |
---|---|
Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2014-105 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/107815 [Handle] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E17 - Forecasting and Simulation |
Source: | ECONIS - Online Catalogue of the ZBW |
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