Hidden factor estimation in Dynamic Generalized Factor Analysis models

Picci, G; Falconi, L; Ferrante, A; Zorzi, M

Falconi, L (通讯作者)，Univ Padua, Dept Informat Engn, Via Gradenigo 6-B, I-35131 Padua, Italy.

AUTOMATICA, 2023; 149 ():

Abstract

This paper deals with the estimation of the hidden factor in Dynamic Generalized Factor Analysis via a generalization of Kalman filtering. Asymptotic ......

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