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A Dynamic Factor Model for the Analysis of Multivariate Time Series

Published online by Cambridge University Press:  01 January 2025

Peter C. M. Molenaar
Peter C. M. Molenaar*
Affiliation:
University of Amsterdam
*
Requests for reprints should be sent to Dr. P. C. M. Molenaar, Department of Psychology, University of Amsterdam, 8 Weesperplein, 1018 XA Amsterdam, THE NETHERLANDS.
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Abstract

As a method to ascertain the structure of intra-individual variation, P-technique has met difficulties in the handling of a lagged covariance structure. A new statistical technique, coined dynamic factor analysis, is proposed, which accounts for the entire lagged covariance function of an arbitrary second order stationary time series. Moreover, dynamic factor analysis is shown to be applicable to a relatively short stretch of observations and therefore is considered worthwhile for psychological research. At several places the argumentation is clarified through the use of examples.

Information

Type
Original Paper
Information
Psychometrika , Volume 50 , Issue 2 , June 1985 , pp. 181 - 202
Copyright
Copyright © 1985 The Psychometric Society

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Footnotes

I would like to thank WM. van der Molen, G. J. Mellenbergh and L. H. M. Oppenheimer, who provided valuable ideas that led to this formulation.

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