{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,27]],"date-time":"2026-08-27T14:43:23Z","timestamp":1787841803659,"version":"build-2784847793"},"reference-count":69,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2025,9,2]],"date-time":"2025-09-02T00:00:00Z","timestamp":1756771200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"},{"start":{"date-parts":[[2025,9,2]],"date-time":"2025-09-02T00:00:00Z","timestamp":1756771200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2025,11]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>This paper addresses the slow convergence of the expectation\u2013maximization (EM) algorithm in the estimation of low\u2010noise dynamic factor models, commonly used in macroeconomic nowcasting and forecasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a low\u2010noise environment, leading to inaccurate estimates of factor loadings and factor realizations. An adaptive version of EM considerably speeds up convergence, producing substantial improvements in estimation accuracy. An empirical nowcasting exercise of euro area GDP growth shows gains in root mean squared forecast error up to 34% by using the adaptive EM relative to the standard algorithm.<\/jats:p>","DOI":"10.1002\/jae.70007","type":"journal-article","created":{"date-parts":[[2025,9,2]],"date-time":"2025-09-02T08:05:48Z","timestamp":1756800348000},"page":"829-845","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Slow Expectation\u2013Maximization Convergence in Low\u2010Noise Dynamic Factor Models"],"prefix":"10.1002","volume":"40","author":[{"given":"Daan","family":"Opschoor","sequence":"first","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam  Rotterdam the Netherlands"},{"name":"Ortec Finance  Rotterdam the Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dick","family":"van\u00a0Dijk","sequence":"additional","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam  Rotterdam the Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,9,2]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2015.10.006"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00519"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.003"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2014.941467"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/oxfordhb\/9780195398649.013.0008"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2306"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2010.01.011"},{"key":"e_1_2_9_10_1","unstructured":"Barigozzi M. andM.Luciani.2019. \u201cQuasi Maximum Likelihood Estimation of Non\u2010Stationary Large Approximate Dynamic Factor Models.\u201dnbsp;arXiv:1910.09841."},{"key":"e_1_2_9_11_1","unstructured":"Barigozzi M. andM.Luciani.2022. \u201cQuasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM Algorithm.\u201dnbsp;arXiv:1910.03821."},{"key":"e_1_2_9_12_1","unstructured":"Bermond O. andJ. F.Cardoso.1999. \u201cApproximate Likelihood for Noisy Mixtures.\u201d InProceedings of the First International Workshop on Independent Component Analysis and Blind Source Separation 325\u2013330.Aussois France."},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.027"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-economics-080217-053214"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2013.03.004"},{"key":"e_1_2_9_16_1","first-page":"22","article-title":"Monitoring Financial Stability: A Financial Conditions Index Approach","volume":"35","author":"Brave S.","year":"2011","journal-title":"Economic Perspectives"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.13021"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2023.04.005"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-53683-9.00003-7"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1052456"},{"key":"e_1_2_9_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.2517-6161.1977.tb01600.x"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2967"},{"key":"e_1_2_9_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.02.012"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00225"},{"key":"e_1_2_9_26_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1981.10477720"},{"key":"e_1_2_9_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12016"},{"key":"e_1_2_9_28_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2020.12.005"},{"key":"e_1_2_9_29_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511617010.008"},{"key":"e_1_2_9_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2008.05.010"},{"key":"e_1_2_9_31_1","doi-asserted-by":"publisher","DOI":"10.2307\/2348942"},{"key":"e_1_2_9_32_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2014.08.015"},{"key":"e_1_2_9_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2011.01013.x"},{"key":"e_1_2_9_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2016.05.003"},{"key":"e_1_2_9_35_1","unstructured":"Holmes E. E.2013. \u201cDerivation of an EM Algorithm for Constrained and Unconstrained Multivariate Autoregressive State\u2010Space (MARSS) Models.\u201d arXiv:1302.3919."},{"key":"e_1_2_9_36_1","unstructured":"Huang H.\u2010S. B.\u2010H.Yang andC.\u2010N.Hsu.2005. \u201cTriple Jump Acceleration for the EM Algorithm.\u201d InFifth IEEE International Conference on Data Mining (ICDM'05) IEEE Houston TX USA."},{"key":"e_1_2_9_37_1","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12029"},{"key":"e_1_2_9_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2011.03.009"},{"key":"e_1_2_9_39_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_9_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ecosta.2022.03.008"},{"key":"e_1_2_9_41_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.1991.692347"},{"key":"e_1_2_9_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/85.4.755"},{"key":"e_1_2_9_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp081"},{"key":"e_1_2_9_44_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.695"},{"key":"e_1_2_9_45_1","doi-asserted-by":"crossref","unstructured":"Maroz D. J. H.Stock andM. W.Watson.2021. \u201cComovement of Economic Activity During the Covid Recession.\u201d","DOI":"10.20955\/es.2021.2"},{"key":"e_1_2_9_46_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/80.2.267"},{"key":"e_1_2_9_47_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2013.1838"},{"key":"e_1_2_9_48_1","doi-asserted-by":"crossref","unstructured":"Ng S.2021. \u201cModeling Macroeconomic Variations After COVID\u201019.\u201d arXiv:2103.02732.","DOI":"10.3386\/w29060"},{"key":"e_1_2_9_49_1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219477513500120"},{"key":"e_1_2_9_50_1","doi-asserted-by":"publisher","DOI":"10.1162\/0899766054322991"},{"key":"e_1_2_9_51_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12006"},{"key":"e_1_2_9_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2021.01.027"},{"key":"e_1_2_9_53_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11079-019-09564-4"},{"key":"e_1_2_9_54_1","first-page":"285","volume-title":"Business Cycles, Indicators, and Forecasting","author":"Quah D.","year":"1993"},{"key":"e_1_2_9_55_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.2.3.128"},{"key":"e_1_2_9_56_1","doi-asserted-by":"publisher","DOI":"10.1006\/jmva.1994.1028"},{"key":"e_1_2_9_57_1","unstructured":"Salakhutdinov R. andS.Roweis.2003. \u201cAdaptive Overrelaxed Bound Optimization Methods.\u201d InProceedings of the Twentieth International Conference on International Conference on Machine Learning (ICML'03) 664\u2013671.AAAI Washington DC USA ."},{"key":"e_1_2_9_58_1","article-title":"Real\u2010Time Forecasting With a (Standard) Mixed\u2010Frequency VAR During a Pandemic","author":"Schorfheide F.","year":"2023","journal-title":"International Journal of Central Banking"},{"key":"e_1_2_9_59_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344136"},{"key":"e_1_2_9_60_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2016.06.002"},{"key":"e_1_2_9_61_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1982.tb00349.x"},{"key":"e_1_2_9_62_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-019-01704-6"},{"key":"e_1_2_9_63_1","doi-asserted-by":"publisher","DOI":"10.1086\/654119"},{"key":"e_1_2_9_64_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9781139173735.005"},{"key":"e_1_2_9_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(99)00027-6"},{"key":"e_1_2_9_66_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_9_67_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"e_1_2_9_68_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9469.2007.00585.x"},{"key":"e_1_2_9_69_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(83)90066-0"},{"key":"e_1_2_9_70_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2012.672115"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.70007","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.70007","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.70007","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,5,2]],"date-time":"2026-05-02T03:48:15Z","timestamp":1777693695000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.70007"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,9,2]]},"references-count":69,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["10.1002\/jae.70007"],"URL":"https:\/\/doi.org\/10.1002\/jae.70007","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2025,9,2]]},"assertion":[{"value":"2023-12-20","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-07-10","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-09-02","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}