Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models

Mathematics

• Dynamic Factor Model 97%
• Vector Autoregressive Process 89%
• Singular Vectors 73%
• Prediction 46%
• Innovation 30%
• Context 17%
• Singular matrix 17%
• Prediction Error 16%
• Singular Systems 16%
• Stationary Distribution 14%
• Mean square error 14%
• Predictors 13%
• Covariance matrix 13%
• Unstable 11%
• Singularity 10%
• Numerical Results 9%

Business & Economics

• Generalized Dynamic Factor Model 100%
• Vector Autoregressive Process 90%
• Prediction 47%
• Dynamic Factor Model 37%
• Stationary Distribution 18%
• Prediction Error 18%
• Covariance Matrix 16%
• Finite Sample 15%
• Predictors 15%
• Singularity 15%
• Innovation 13%

Engineering & Materials Science

• Covariance matrix 14%