Hidden factor estimation in dynamic generalized factor analysis models (Q2681371)

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Hidden factor estimation in dynamic generalized factor analysis models
scientific article

    Statements

    title
    Hidden factor estimation in dynamic generalized factor analysis models (English)
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    author
    Giorgio Picci
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    Lucia Falconi
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    Augusto Ferrante
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    Mattia Zorzi
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    published in
    Automatica
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    publication date
    3 February 2023
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    zbMATH Keywords
    generalized factor analysis
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    factor estimation
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    Kalman filtering
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    Kalman predictor
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    dynamic factor models
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    Identifiers

    Mathematics Subject Classification ID
    93E11
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    62P30
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    62H25
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    zbMATH DE Number
    7649489
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