50 citations · 198 across the 37 of their papers we have counts for
50 papers
On the Positivity of a Class of Cauchy-Like Matrices
Augusto Ferrante
Let . Motivated by a problem related to Lyapunov equations we consider a class of Cauchy-like matrices whose elements have the form $C_{ij}=\frac{r_i(k,l)+r_j(k,l…
Distributionally Robust LQG control under Distributed Uncertainty
Lucia Falconi, Augusto Ferrante, Mattia Zorzi
A new paradigm is proposed for the robustification of the LQG controller against distributional uncertainties on the noise process. Our controller optimizes the closed-loop perform…
Hidden Factor estimation in Dynamic Generalized Factor Analysis Models
Giorgio Picci, Lucia Falconi, Augusto Ferrante +1
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 i…
Mean-square consistency of the -truncated -periodogram
Lucia Falconi, Augusto Ferrante, Mattia Zorzi
The paper deals with the problem of estimating the M (i.e. multivariate and multidimensional) spectral density function of a stationary random process or random field. We propo…
A Robust Approach to ARMA Factor Modeling
Lucia Falconi, Augusto Ferrante, Mattia Zorzi
This paper deals with the dynamic factor analysis problem for an ARMA process. To robustly estimate the number of factors, we construct a confidence region centered in a finite sam…
Learning AR factor models
Francesca Crescente, Lucia Falconi, Federica Rozzi +2
We face the factor analysis problem using a particular class of auto-regressive processes. We propose an approximate moment matching approach to estimate the number of factors as w…