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IMA Journal of Mathematical Control and Information 1986 3(2-3):185-210; doi:10.1093/imamci/3.2-3.185
© 1986 by Institute of Mathematics and its Applications
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Dynamic Factor-Analysis Models for Stationary Processes

GIORGIO PICCI and STEFANO PINZONI

Istituto di Elettrotecnica e di Elettronica Via Gradenigo 6/A, 35131 Padova, Italy
LADSEB-CNR Corso Stati Uniti 4, 35020 Padova, Italy

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 dynamic errors-in-variables models discussed in the recent literature. They provide simple mathematical schemes for the identification of multivariate time series which avoid the unjustified introduction of causality relations among the variables, as for example subsumed by conventional ARMAX models.


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