Hidden factor estimation in dynamic generalized factor analysis models

DOI10.1016/j.automatica.2022.110834OpenAlexW4313459859MaRDI QIDQ2681371

Mattia Zorzi, Augusto Ferrante, Giorgio Picci, Lucia Falconi

Publication date: 3 February 2023

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.12789

zbMATH Keywords

Kalman filteringdynamic factor modelsKalman predictorfactor estimationgeneralized factor analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics in engineering and industry; control charts (62P30) Filtering in stochastic control theory (93E11)

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