动态广义因子分析模型中的隐因子估计

IEEE Robotics Autom. Mag. Pub Date : 2022-11-23 DOI:10.48550/arXiv.2211.12789

G. Picci, Lucia Falconi, A. Ferrante, M. Zorzi

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引用次数: 1

摘要

本文通过对卡尔曼滤波的推广，研究了动态广义因子分析中隐因子的估计问题。讨论了渐近一致性，并表明卡尔曼一步预测器不是正确的工具，而纯滤波器产生一致估计。

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Hidden Factor estimation in Dynamic Generalized Factor Analysis Models

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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IEEE Robotics Autom. Mag.

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