2 papers
math.ST2022
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…
math.OC2020
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…