An order-invariant score-driven dynamic factor model
不依赖序列排序的得分驱动动态因子模型
This paper introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in panels of time series. The model is formulated using elliptical distribution for noise terms, allowing the update of the time-varying parameter to be potentially nonlinear and robust to outliers. We derive stochastic properties of time series generated by the model, such as stationarity and ergodicity, and establish the invertibility of the filter. We prove…