Hidden factor estimation in dynamic generalized factor analysis models

DOI10.1016/J.AUTOMATICA.2022.110834MaRDI QIDQ2681371zbMATH OpenOpenAlexFDO

Authors Giorgio Picci, Lucia Falconi, Augusto Ferrante, Mattia Zorzi

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

dynamic factor modelsfactor estimationgeneralized factor analysisKalman filteringKalman predictor

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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Cites work

• A parametric estimation method for dynamic factor models of large dimensions
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• Generalized linear dynamic factor models: an approach via singular autoregressions
• scientific article; zbMATH DE number 3886946 (Why is no real title available?)
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• Latent variable graphical model selection via convex optimization
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Linear Stochastic Systems
• Modeling Complex Systems by Generalized Factor Analysis
• The Generalized Dynamic Factor Model
• The generalized dynamic factor model consistency and rates

Cited in

(5)

• Further studies on temporal factor analysis: comparison and kalman filter-based algorithm
• Consistency of generalized dynamic principal components in dynamic factor models
• Estimation of dynamic models on the factors of marginal principal component analysis
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• Hidden Factor estimation in Dynamic Generalized Factor Analysis Models

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