Anderson, Brian; Deistler, Manfred
In factor analysis, which is used for example in econometrics, by definition the number of latent variables has to exceed the number of factor variables. The associated transfer function matrix has more rows than columns, and when the factor variables are independent zero mean white noise sequences and the transfer function matrix is stable, then the output spectrum is singular. While a related paper focusses on the properties of such a nonsquare transfer function matrix, in this paper, we...[Show more]
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