Discussion on: ``Generalized linear dynamic factor models: an approach via singular autoregressions

DOI10.1016/S0947-3580(10)70644-0zbMath1198.93220OpenAlexW2083196293MaRDI QIDQ2638167

Brett Ninness, Adrian G. Wills

Publication date: 14 September 2010

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0947-3580(10)70644-0

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Cites Work

• An analysis of the parametrization by data driven local coordinates for multivariable linear systems
• A new method for evaluating the log-likelihood gradient (score) of linear dynamic systems

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