Related papers: Hidden Factor estimation in Dynamic Generalized Fa…
This paper considers the simultaneous state and unknown input estimation for continuous-discrete stochastic systems. Two types of approaches (with and without modeling of unknown inputs) which can address this issue are investigated. A…
We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…
We propose a new estimator for the Generalised Dynamic Factor Model (GDFM) that simplifies estimation by avoiding frequency-domain methods. Our key theoretical insight shows that under reasonable conditions the dynamic common component can…
We study a distributed Kalman filtering problem in which a number of nodes cooperate without central coordination to estimate a common state based on local measurements and data received from neighbors. This is typically done by running a…
The model of partially observed linear system depending on some unknown parameters is considered. An approximation of the unobserved component is proposed. This approximation is realized in three steps. First an estimator of the method of…
This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the…
In this paper, we revisit the Kalman filter theory. After giving the intuition on a simplified financial markets example, we revisit the maths underlying it. We then show that Kalman filter can be presented in a very different fashion using…
This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…
This paper considers estimation of large dynamic factor models with common and idiosyncratic trends by means of the Expectation Maximization algorithm, implemented jointly with the Kalman smoother. We show that, as the cross-sectional…
Prediction error and maximum likelihood methods are powerful tools for identifying linear dynamical systems and, in particular, enable the joint estimation of model parameters and the Kalman filter used for state estimation. A key…
As a generalization of the classical linear factor model, generalized latent factor models are useful for analyzing multivariate data of different types, including binary choices and counts. This paper proposes an information criterion to…
This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We study estimation of the model parameters based on the…
This paper is concerned with the problem of distributed Kalman filtering in a network of interconnected subsystems with distributed control protocols. We consider networks, which can be either homogeneous or heterogeneous, of linear…
This paper studies the distributed state estimation problem for a class of discrete time-varying systems over sensor networks. Firstly, it is shown that a networked Kalman filter with optimal gain parameter is actually a centralized filter,…
This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters…
Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…
This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current…
The possible methodologies to handle the uncertain parameter are reviewed. The core idea of the desensitized Kalman filter is introduced. A new cost function consisting of a posterior covariance trace and trace of a weighted norm of the…
Gaussian processes provide a compact representation for modeling and estimating an unknown function, that can be updated as new measurements of the function are obtained. This paper extends this powerful framework to the case where the…
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous application areas. It provides sequentially calculated estimates of the system…