41 citations · 89 across the 13 of their papers we have counts for
15 papers
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…
Identification of Low Rank Vector Processes
Wenqi Cao, Giorgio Picci, Anders Lindquist
We study modeling and identification of stationary processes with a spectral density matrix of low rank. Equivalently, we consider processes having an innovation of reduced dimensi…
Modeling of Low Rank Time Series
Wenqi Cao, Anders Lindquist, Giorgio Picci
Rank-deficient stationary stochastic vector processes are present in many problems in network theory and dynamic factor analysis. In this paper we study hidden dynamical relations…
Modeling and Identification of Low Rank Vector Processes
Giorgio Picci, Wenqi Cao, Anders Lindquist
We study modeling and identification of processes with a spectral density matrix of low rank. Equivalently, we consider processes having an innovation of reduced dimension for whic…
Approximation of stationary processes and Toeplitz Spectra
Giorgio Picci, Bin Zhu
We study the approximation of stationary processes by a simple class of purely deterministic signals. This has an analytic counterpart in the approximation of symmetric positive de…
Spectral Rank, Feedback, Causality and the Indirect Method for CARMA Identification
Wenqi Cao, Anders Lindquist, Giorgio Picci
Building on a recent paper by Georgiou and Lindquist [1] on the problem of rank deficiency of spectral densities and hidden dynamical relations after sampling of continuous-time st…
An Empirical Bayes Approach to Frequency Estimation
Giorgio Picci, Bin Zhu
In this paper we show that the classical problem of frequency estimation can be formulated and solved efficiently in an empirical Bayesian framework by assigning a uniform a priori…
On the state space and dynamics selection in linear stochastic models: a spectral factorization approach
Augusto Ferrante, Giorgio Picci
Matrix spectral factorization is traditionally described as finding spectral factors having a fixed analytic pole configuration. The classification of spectral factors then involve…
A New Algorithm for Circulant Rational Covariance Extension and Applications to Finite-interval Smoothing
Giorgio Picci, Bin Zhu
The partial stochastic realization of periodic processes from finite covariance data has recently been solved by Lindquist and Picci based on convex optimization of a generalized e…
Modeling of Stationary Periodic Time Series by ARMA Representations
Anders Lindquist, Giorgio Picci
This is a survey of some recent results on the rational circulant covariance extension problem: Given a partial sequence of covariance lags $c_k=\mathbb{E}\{y…
Representation and Factorization of Discrete-Time Rational All-Pass Functions
Augusto Ferrante, Giorgio Picci
We obtain a general characterization of discrete-time all-pass rational matrix functions from state-space representations. It can be employed to address model reduction problems in…
Modeling complex systems by Generalized Factor Analysis
Giulio Bottegal, Giorgio Picci
We propose a new modeling paradigm for large dimensional aggregates of stochastic systems by Generalized Factor Analysis (GFA) models. These models describe the data as the sum of…
The Circulant Rational Covariance Extension Problem: The Complete Solution
Anders Lindquist, Giorgio Picci
The rational covariance extension problem to determine a rational spectral density given a finite number of covariance lags can be seen as a matrix completion problem to construct…
An Efficient Algorithm for Maximum-Entropy Extension of Block-Circulant Covariance Matrices
Francesca P. Carli, Augusto Ferrante, Michele Pavon +1
This paper deals with maximum entropy completion of partially specified block-circulant matrices. Since positive definite symmetric circulants happen to be covariance matrices of s…
A Maximum Entropy solution of the Covariance Extension Problem for Reciprocal Processes
Francesca Carli, Augusto Ferrante, Michele Pavon +1
Stationary reciprocal processes defined on a finite interval of the integer line can be seen as a special class of Markov random fields restricted to one dimension. Non stationary…