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26 octobre 2023
- 2310.17278
Mots-clés
Economics - EconometricsSujets proches
Family history Instruction and study--Methods Family trees Genealogies Hours (Time) Measurement, Mental Measurement, Psychological Psychology--Scaling Psychological statistics Scaling, Psychological Psychological scaling Psychology--Measurement Psychological measurement Psychometry (Psychophysics) Induction, Ampliative Ampliative induction Inference (Logic) Genealogy--Handbooks, manuals, etc Genealogical research Family trees Genealogy--Sources Genealogy--History Family history (Genealogy) Genealogy--Research Ancestry Descent Pedigrees Genealogy--Methodology Prediction Forecasts Futurology Financial intermediaries Lending institutions Family Family structure Families--Social aspects Families--Social conditions Family life Structure, Family Family relationships Relationships, Family Pattern Model Economic theory Political economy Banks, Central Central banking Central banks Banker's banks Instruction and study--Methods Biography--Ancestry Relations with family Biography--Descendants Biography--Family AncestryCiter ce document
Matteo Barigozzi et al., « Dynamic Factor Models: a Genealogy », arXiv - économie
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Résumé
Dynamic factor models have been developed out of the need of analyzing and forecasting time series in increasingly high dimensions. While mathematical statisticians faced with inference problems in high-dimensional observation spaces were focusing on the so-called spiked-model-asymptotics, econometricians adopted an entirely and considerably more effective asymptotic approach, rooted in the factor models originally considered in psychometrics. The so-called dynamic factor model methods, in two decades, has grown into a wide and successful body of techniques that are widely used in central banks, financial institutions, economic and statistical institutes. The objective of this chapter is not an extensive survey of the topic but a sketch of its historical growth, with emphasis on the various assumptions and interpretations, and a family tree of its main variants.