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Factor Analysis Models for Stationary Stochastic Processes

  • Giorgio Picci
  • Stefano Pinzoni
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 83)

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.

Keywords

Unit Circle Canonical Form Factor Space Minimum Phase Factor Analysis Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1986

Authors and Affiliations

  • Giorgio Picci
    • 1
  • Stefano Pinzoni
    • 2
  1. 1.Istituto di Elettrotecnica e di ElettronicaPadovaItaly
  2. 2.LADSEB-CNRPadovaItaly

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