Load and wind power scenario generation through the generalized dynamic factor model

D Lee, R Baldick - IEEE Transactions on power Systems, 2016 - ieeexplore.ieee.org
Load and wind power scenarios are synthesized through the generalized dynamic factor
model (GDFM), which represents the load and wind power as the sum of a periodic …

[HTML][HTML] Cointegration and error correction mechanisms for singular stochastic vectors

M Barigozzi, M Lippi, M Luciani - Econometrics, 2020 - mdpi.com
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium
models, both widely used in empirical macroeconomics, deal with singular stochastic …

Time-series data optimized AR/ARMA model for frugal spectrum estimation in Cognitive Radio

D Chakraborty, SK Sanyal - Physical Communication, 2021 - Elsevier
Abstract Wideband and agile Spectrum Estimation (SE) is a fundamental component of the
Cognitive Radio (CR) system. However, CR systems generally utilize the classical sensing …

The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case

BDO Anderson, M Deistler, E Felsenstein… - Journal of econometrics, 2016 - Elsevier
This paper is concerned with the structure of multivariate AR and ARMA systems. The
emphasis is on two “non-standard” cases: We deal with the structure of singular AR and …

Weak factors are everywhere

P Gersing, C Rust, M Deistler - arxiv preprint arxiv:2307.10067, 2023 - arxiv.org
Factor Sequences are stochastic double sequences indexed in time and cross-section
which have a so called factor structure. The term was coined by Forni and Lippi (2001) who …

[HTML][HTML] Linear system challenges of dynamic factor models

BDO Anderson, M Deistler, M Lippi - Econometrics, 2022 - mdpi.com
A survey is provided dealing with the formulation of modelling problems for dynamic factor
models, and the various algorithm possibilities for solving these modelling problems …

Manfred Deistler and the General-Dynamic-Factor-Model approach to the statistical analysis of high-dimensional time series

M Hallin - Econometrics, 2022 - mdpi.com
For more than half a century, Manfred Deistler has been contributing to the construction of
the rigorous theoretical foundations of the statistical analysis of time series and more …

New method for enhanced efficiency in detection of gravitational waves from supernovae using coherent network of detectors

S Mukherjee, L Salazar, J Mittelstaedt, O Valdez - Physical Review D, 2017 - APS
Supernovae in our universe are potential sources of gravitational waves (GW) that could be
detected in a network of GW detectors like LIGO and Virgo. Core-collapse supernovae are …

Frequency domain subspace-based identification of discrete-time singular power spectra

H Akçay - Signal Processing, 2012 - Elsevier
In this paper, we propose a subspace algorithm for the identification of linear-time-invariant
discrete-time systems with more outputs than inputs from measured power spectrum data …

The structure of generalized linear dynamic factor models

M Deistler, W Scherrer, BDO Anderson - Empirical economic and financial …, 2015 - Springer
In this contribution we present a structure theory for generalized linear dynamic factor
models. Generalized dynamic factor models have been proposed approximately a decade …