Abstract
A new class of dynamic models for stationary time series is presented. It is a natural dynamic generalization of the well-known Factor Analysis Model widely used in Statistics. Factor Analysis models of time series are also related to dynalaic Errors-in-Variables models discussed in the recent literature. They provide simple mathematical schemes for the identification of multivariate time series which a-void the unjustified introduction of causality relations among the variables, as for example subsumed by conventional ARNAX models.
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Picci, G., Pinzoni, S. (1986). Factor Analysis Models for Stationary Stochastic Processes. In: Bensoussan, A., Lions, J.L. (eds) Analysis and Optimization of Systems. Lecture Notes in Control and Information Sciences, vol 83. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007576
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DOI: https://doi.org/10.1007/BFb0007576
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