Develops the factor OUSSM for multi-dimensional mean-reverting processes with observational noise, resolves identifiability via constraints, and demonstrates on biological and environmental time series.
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Factor State Space Modelling of the Ornstein-Uhlenbeck Process with Measurement Error and its Application
Develops the factor OUSSM for multi-dimensional mean-reverting processes with observational noise, resolves identifiability via constraints, and demonstrates on biological and environmental time series.