A note on generalized factor analysis models

G. Bottegal; G. Picci

doi:10.1109/CDC.2011.6160807

A note on generalized factor analysis models

G. Bottegal
, G. Picci

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

6 Citations (Scopus)

Abstract

An interesting generalization of dynamic factor analysis models has been proposed recently by Forni, Lippi and collaborators. These models, called generalized dynamic factor analysis models describe observations of infinite cross-sectional dimension. Quite surprisingly the inherent non-uniqueness of factor analysis models does not occur in this generalized context. We attempt an explanation of this fact by restricting the analysis to static generalized factor models. We show that there is a natural interpretation of generalized factor analysis models in terms of Wold decomposition of stationary sequences. A stationary sequence admits a (unique) generalized factor analysis decomposition if and only if two rather natural conditions are satisfied.

Original language	English
Title of host publication	201150th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC)
Place of Publication	Piscataway
Publisher	Institute of Electrical and Electronics Engineers
Pages	1485-1490
Number of pages	6
ISBN (Electronic)	978-1-61284-801-3
ISBN (Print)	978-1-61284-800-6
DOIs	https://doi.org/10.1109/CDC.2011.6160807
Publication status	Published - 2011
Externally published	Yes
Event	50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011) - Hilton Orlando Bonnet Creek, Orlando, United States Duration: 12 Dec 2011 → 15 Dec 2011 Conference number: 50 http://www.ieeecss.org/CAB/conferences/cdcecc2011/

Conference

Conference	50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011)
Abbreviated title	CDC-ECC 2011
Country/Territory	United States
City	Orlando
Period	12/12/11 → 15/12/11
Other	50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Internet address	http://www.ieeecss.org/CAB/conferences/cdcecc2011/

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10.1109/CDC.2011.6160807

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title = "A note on generalized factor analysis models",

abstract = "An interesting generalization of dynamic factor analysis models has been proposed recently by Forni, Lippi and collaborators. These models, called generalized dynamic factor analysis models describe observations of infinite cross-sectional dimension. Quite surprisingly the inherent non-uniqueness of factor analysis models does not occur in this generalized context. We attempt an explanation of this fact by restricting the analysis to static generalized factor models. We show that there is a natural interpretation of generalized factor analysis models in terms of Wold decomposition of stationary sequences. A stationary sequence admits a (unique) generalized factor analysis decomposition if and only if two rather natural conditions are satisfied.",

author = "G. Bottegal and G. Picci",

year = "2011",

doi = "10.1109/CDC.2011.6160807",

language = "English",

isbn = "978-1-61284-800-6",

pages = "1485--1490",

booktitle = "201150th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC)",

publisher = "Institute of Electrical and Electronics Engineers",

address = "United States",

note = "50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), CDC-ECC 2011 ; Conference date: 12-12-2011 Through 15-12-2011",

url = "http://www.ieeecss.org/CAB/conferences/cdcecc2011/",

}

Bottegal, G & Picci, G 2011, A note on generalized factor analysis models. in 201150th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC). Institute of Electrical and Electronics Engineers, Piscataway, pp. 1485-1490, 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, Florida, United States, 12/12/11. https://doi.org/10.1109/CDC.2011.6160807

TY - GEN

T1 - A note on generalized factor analysis models

AU - Bottegal, G.

AU - Picci, G.

N1 - Conference code: 50

PY - 2011

Y1 - 2011

N2 - An interesting generalization of dynamic factor analysis models has been proposed recently by Forni, Lippi and collaborators. These models, called generalized dynamic factor analysis models describe observations of infinite cross-sectional dimension. Quite surprisingly the inherent non-uniqueness of factor analysis models does not occur in this generalized context. We attempt an explanation of this fact by restricting the analysis to static generalized factor models. We show that there is a natural interpretation of generalized factor analysis models in terms of Wold decomposition of stationary sequences. A stationary sequence admits a (unique) generalized factor analysis decomposition if and only if two rather natural conditions are satisfied.

AB - An interesting generalization of dynamic factor analysis models has been proposed recently by Forni, Lippi and collaborators. These models, called generalized dynamic factor analysis models describe observations of infinite cross-sectional dimension. Quite surprisingly the inherent non-uniqueness of factor analysis models does not occur in this generalized context. We attempt an explanation of this fact by restricting the analysis to static generalized factor models. We show that there is a natural interpretation of generalized factor analysis models in terms of Wold decomposition of stationary sequences. A stationary sequence admits a (unique) generalized factor analysis decomposition if and only if two rather natural conditions are satisfied.

U2 - 10.1109/CDC.2011.6160807

DO - 10.1109/CDC.2011.6160807

M3 - Conference contribution

SN - 978-1-61284-800-6

SP - 1485

EP - 1490

BT - 201150th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC)

PB - Institute of Electrical and Electronics Engineers

CY - Piscataway

T2 - 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011)

Y2 - 12 December 2011 through 15 December 2011

ER -

A note on generalized factor analysis models

Abstract

Conference

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