July 2021
Intermediate to advanced
472 pages
15h 10m
English
Content preview from Time Series, 2nd Edition
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MULTIVARIATE DYNAMIC LATENT FACTOR MODELS 383
0.6 0.8 1.0 1.2 1.4 1.6
0 1 2 3
−0.8 −0.6 −0.4 −0.2 0.0 0.2
0 1 2 3
φ
11
φ
12
0.2 0.4 0.6 0.8 1.0 1.2
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5
−0.6 −0.4 −0.2 0.0 0.2
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5
φ
21
φ
22
0.0 0.2 0.4 0.6 0.8 1.0
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5
φ
31
Figure 11.11 Troposphere temperature – dynamic 3-factor model. Posterior den-
sities of autoregressive coefficients for common factors.
384 LATENT FACTOR MODELS
Jun Jul Aug Sep
−2 −1 0 1 2 3
Date
Jun Jul Aug Sep
−2 −1 0 1 2 3
Date
(a) (b)
Jun Jul Aug Sep
−2 −1 0 1 2 3
Date
Jun