Scientific Data Services

Talk on “Using Subspace Methods for the Estimation of Approximate Dynamic Factor Models “

Scientific Data Services — Fri, 11 Apr 2025 14:27:10 +0200

“Using Subspace Methods for the Estimation of Approximate Dynamic Factor Models” is the title of Dietmar Bauers's lecture, which is being organised by the "Zentrum für Statistik" at Bielefeld University. It will take place on Tuesday, 15 April 2025 from 12:00 to 13:00 in W9-109.

For multivariate time series with a large number of variables classical vector autoregressive (VAR) models are not appropriate because they contain too many parameters. Alternatively in the literature in such situations factor models are used to reduce the dimensionality. Approximate dynamic factor models represent the high-dimensional time series as generated by a common factor part and idiosyncratic terms, where the common factors are latent. Estimating the dynamics of the common factors often is done using a VAR model for the principal components. The estimation of more flexible state space models via maximum likelihood methods is more complicated. Subspace methods are a numerically stable alternative that can be used in this respect. In this talk we show that the subspace methods provide a very robust and computationally simple means to obtain consistent estimators for the latent factor dynamics.

EuADS Summer School “Automated Data Science” starts in July

Scientific Data Services — Wed, 12 Mar 2025 15:14:12 +0100

The EuADS Summer School will take place in Luxembourg from 8th to 11st July 2025. The topic for this year's event is Automated Data Science. Registration for the summer school, which is sponsored and co-organized by BiCDaS, is now open on the homepage of the European Association for Data Science.

Scientific Data Services

Talk on “Using Subspace Methods for the Estimation of Approximate Dynamic Factor Models “

EuADS Summer School “Automated Data Science” starts in July

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