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Abstract Details
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Activity Number:
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385
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304783 |
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Title:
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Reduced-Rank Time-Series Models
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Author(s):
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Victor Solo*+
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Companies:
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University of New South Wales
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Address:
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School of Electrical Engineering, 2033 Kensington, , Australia
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Keywords:
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time series ;
factor model ;
reduced rank
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Abstract:
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The recent interest in high dimensional time-series driven particularly by work on dynamic factor models leads naturally to a reconsideration of reduced rank time-series models. Existing reduced rank vector time-series models are essentially constrained VAR models. Here we characterize these models in state space terms in a very simple way and thus obtain an extension to the vector ARMA case. We discuss two new associated state space subspace fitting algorithms. We also discuss the close relation to dynamic factor models.
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Authors who are presenting talks have a * after their name.
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