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Hidden factor estimation in Dynamic Generalized Factor Analysis models
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DOI：10.1016/j.automatica.2022.110834.png)
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Abstract
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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.
Keywords:
Generalized factor analysis
Factor estimation
Kalman filtering
Kalman predictor
Dynamic factor models
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