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The estimation of factor scores and Kalman filtering for discrete parameter stationary processes

 

作者: M. B. PRIESTLEY,   T. SUBBA RAO,  

 

期刊: International Journal of Control  （Taylor Available online 1975）
卷期: Volume 21, issue 6  

页码: 971-975

 

ISSN:0020-7179

 

年代: 1975

 

DOI:10.1080/00207177508922050

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

We discuss the analogy between the classical factor analysis model and the ‘ state-space ’ representation of a discrete parameter multivariate linear stochastic system. Using the ‘ regression approach ’ to factor analysis the well-known Kalman—Buey linear filter is derived.

 

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