A dynamic factor model for the analysis of multivariate time series

DOI10.1007/BF02294246zbMath0603.62099MaRDI QIDQ1082768

Publication date: 1985

Published in: Psychometrika (Search for Journal in Brave)

estimation Kalman filter multivariate time series dynamic factor modelling generalization of P-technique lagged covariance structure latent factor series Markovian state model robust against small sample sizes second order stationary time series simultaneous structural equation system

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

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