ESTIMATION OF FACTOR SCORES AND KALMAN FILTERING FOR DISCRETE PARAMETER STATIONARY PROCESSES

[1] A SIMPLIFIED DERIVATION OF LINEAR LEAST SQUARE SMOOTHING AND PREDICTION THEORY [J]. PROCEEDINGS OF THE INSTITUTE OF RADIO ENGINEERS, 1950, 38 (04): : 417 - 425

[2] AN INNOVATIONS APPROACH TO LEAST-SQUARES ESTIMATION .I. LINEAR FILTERING IN ADDITIVE WHITE NOISE [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1968, AC13 (06) : 646 - +

[3] Kalman R., 1961, J BASIC ENG, V83, P95, DOI [10.1115/1.3658902, DOI 10.1115/1.3658902]

[4] LAWLEY DN, 1971, FACTOR ANALYSIS STAT

[5] Luenberger D.G., 1997, OPTIMIZATION VECTOR

[6] MEDITCH JS, 1969, STOCHASTIC OPTIMAL L

[1] A SIMPLIFIED DERIVATION OF LINEAR LEAST SQUARE SMOOTHING AND PREDICTION THEORY [J]. PROCEEDINGS OF THE INSTITUTE OF RADIO ENGINEERS, 1950, 38 (04): : 417 - 425

[2] AN INNOVATIONS APPROACH TO LEAST-SQUARES ESTIMATION .I. LINEAR FILTERING IN ADDITIVE WHITE NOISE [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1968, AC13 (06) : 646 - +

[3] Kalman R., 1961, J BASIC ENG, V83, P95, DOI [10.1115/1.3658902, DOI 10.1115/1.3658902]

[4] LAWLEY DN, 1971, FACTOR ANALYSIS STAT

[5] Luenberger D.G., 1997, OPTIMIZATION VECTOR

[6] MEDITCH JS, 1969, STOCHASTIC OPTIMAL L