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23-018/III - Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models


  • Authors
    Daan Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    April 5, 2023
  • Keywords
    Dynamic factor models, EM algorithm, artificial noise, convergence speed, nowcasting
  • JEL
    C32, C51, C53, E37