Dynamic Factor-Analysis Models for Stationary Processes

DOI10.1093/IMAMCI/3.2-3.185MaRDI QIDQ3030069zbMATH OpenOpenAlexFDO

Authors Giorgio Picci, Stefano Pinzoni

Publication date 1986

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/3.2-3.185

zbMATH Keywords

dynamic errors-in-variables modelsdynamic models for time seriesfactor analysis modelsidentification of multivariate time series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(23)

• A dynamic factor model for the analysis of multivariate time series
• Identification of factor models by behavioural and subspace methods
• Certain models from uncertain data: The algebraic case
• The identification of multivariate linear dynamic errors-in-variables models
• Identification of dynamic errors-in-variables models
• Statistical analysis of a class of factor time series models
• Dynamic semi-parametric factor model for functional expectiles
• A novel algorithm for dynamic factor analysis
• Rotation in the dynamic factor modeling of multivariate stationary time series
• Hidden factor estimation in dynamic generalized factor analysis models
• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
• Identification of causal factor models of stationary time series
• Dimension reduction in time series and the dynamic factor model
• scientific article; zbMATH DE number 3965942 (Why is no real title available?)
• System Identification by Dynamic Factor Models
• Extremes of Some Sub-Sampled Time Series
• Time series. Modeling, computation, and inference
• scientific article; zbMATH DE number 232368 (Why is no real title available?)
• Estimation of dynamic models on the factors of marginal principal component analysis
• Identification and estimation of dynamic errors-in-variables models
• On the identifiability of errors-in-variables models with white measurement errors
• Fitting dynamic factor models to non-stationary time series
• Parametrization of factor analysis models

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