Identification of factor models by behavioural and subspace methods

DOI10.1016/S0167-6911(97)00088-1zbMATH Open0902.93018MaRDI QIDQ1128450FDOQ1128450

Authors: Wolfgang Scherrer, Christiaan Heij 

Publication date: 13 August 1998

Published in: Systems \& Control Letters (Search for Journal in Brave)

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zbMATH Keywords

factor modelsprincipal componentsleast squaressystem identificationbehaviourlinear systemmodel reduction

Mathematics Subject Classification ID

System identification (93B30) Algebraic methods (93B25)

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Cited In (3)

• On continuity and consistency of \(\ell_{\infty}\) optimal models
• Identification theory for high dimensional static and dynamic factor models
• Factor and Idiosyncratic Empirical Processes

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