Hidden Factor estimation in Dynamic Generalized Factor Analysis Models

2022/11/23 by Picci, Giorgio, Falconi, Lucia, Ferrante, Augusto +1 · 1 citation
#FOS: Electrical engineering #FOS: Mathematics #Statistics Theory (math.ST) #Systems and Control (eess.SY) #electronic engineering #information engineering

paper · doi:10.48550/arxiv.2211.12789

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.

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• A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems

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