Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10010495099
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912
Persistent link: https://www.econbiz.de/10012418822
Persistent link: https://www.econbiz.de/10012177369
Persistent link: https://www.econbiz.de/10011389921
Persistent link: https://www.econbiz.de/10009673781
Persistent link: https://www.econbiz.de/10012311929
Persistent link: https://www.econbiz.de/10012692700
Persistent link: https://www.econbiz.de/10012607673
Persistent link: https://www.econbiz.de/10012305512