The estimation of factor scores and Kalman filtering for discrete parameter stationary processes
- 1 June 1975
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 21 (6) , 971-975
- https://doi.org/10.1080/00207177508922050
Abstract
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.Keywords
This publication has 2 references indexed in Scilit:
- An innovations approach to least-squares estimation--Part I: Linear filtering in additive white noiseIEEE Transactions on Automatic Control, 1968
- A Simplified Derivation of Linear Least Square Smoothing and Prediction TheoryProceedings of the IRE, 1950