Hidden factor estimation in Dynamic Generalized Factor Analysis models

卷:149

Article

关键词: ARBITRAGE;   

DOI  :  10.1016/j.automatica.2022.110834

来源: SCIE

【 摘 要 】

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.(c) 2022 Elsevier Ltd. All rights reserved.

【 授权许可】

Free