High-dimensional dynamic factor models: a selective survey and lines of future research
Abstract
High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples. In particular, the role of singular ARMA models in the theory and applications of High-Dimensional Dynamic Factor Models is discussed.The emphasis of the paper is on model classes and their structure theory, rather than on estimation in the narrow sense. Our aim is not a comprehensive survey. Rather we try to point out promising lines of research and applications that have not yet been sufficiently developed.
- Publication:
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arXiv e-prints
- Pub Date:
- February 2022
- DOI:
- 10.48550/arXiv.2202.07745
- arXiv:
- arXiv:2202.07745
- Bibcode:
- 2022arXiv220207745L
- Keywords:
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- Electrical Engineering and Systems Science - Systems and Control;
- Mathematics - Statistics Theory
- E-Print:
- 28 pages