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