A maximum likelihood approach to temporal factor analysis in state-space model

DOI10.1016/J.SIGPRO.2005.12.006MaRDI QIDQ1031379zbMATH OpenOpenAlexFDO

Authors Yiu-ming Cheung

Publication date 29 October 2009

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2005.12.006

zbMATH Keywords

Kalman filterstate identificationstate-space modeltemporal factor analysis

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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Cited in

(2)

• Further studies on temporal factor analysis: comparison and kalman filter-based algorithm
• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling

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