Reducing the state space dimension in a large TVP-VAR
Joshua C. C. Chan, Eric Eisenstat, Rodney W. Strachan
Topics & Concepts
CovarianceAutoregressive modelMathematicsCovariance matrixImpulse responseState spaceApplied mathematicsRank (graph theory)Factor analysisRank conditionVector autoregressionEconometricsComputer scienceAlgorithmStatisticsControllabilityCombinatoricsMathematical analysisStatistical Methods and Bayesian InferenceTransportation Planning and OptimizationFunctional Brain Connectivity Studies