Hidden Factor estimation in Dynamic Generalized Factor Analysis Models
Statistics Theory
2022-11-24 v1 Systems and Control
Systems and Control
Statistics Theory
Abstract
This paper deals with the estimation of the hidden factor in Dynamic Generalized Factor Analysis via a generalization of Kalman filtering. Asymptotic consistency is discussed and it is shown that the Kalman one-step predictor is not the right tool while the pure filter yields a consistent estimate.
Keywords
Cite
@article{arxiv.2211.12789,
title = {Hidden Factor estimation in Dynamic Generalized Factor Analysis Models},
author = {Giorgio Picci and Lucia Falconi and Augusto Ferrante and Mattia Zorzi},
journal= {arXiv preprint arXiv:2211.12789},
year = {2022}
}