Dynamic Factor-Analysis Models for Stationary Processes

DOI10.1093/imamci/3.2-3.185zbMath0626.62088OpenAlexW2066800295MaRDI QIDQ3030069

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

factor analysis modelsdynamic errors-in-variables modelsdynamic models for time seriesidentification of multivariate time series

Mathematics Subject Classification ID

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

Related Items (8)

Identification of dynamic errors-in-variables models ⋮ Identification of factor models by behavioural and subspace methods ⋮ Parametrization of factor analysis models ⋮ Certain models from uncertain data: The algebraic case ⋮ On the identifiability of errors-in-variables models with white measurement errors ⋮ Identification and estimation of dynamic errors-in-variables models ⋮ BLIND SIGNAL SEPARATION OF MIXTURES OF CHAOTIC PROCESSES: A COMPARISON BETWEEN INDEPENDENT COMPONENT ANALYSIS AND STATE SPACE MODELING ⋮ The identification of multivariate linear dynamic errors-in-variables models

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