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Rotation in the Dynamic Factor Modeling of Multivariate Stationary Time Series.
- Source :
-
Psychometrika . Mar 2001 66(1):99-107. - Publication Year :
- 2001
-
Abstract
- Proposes a special rotation procedure for the exploratory dynamic factor model for stationary multivariate time series. The rotation procedure applies separately to each univariate component series of a q-variate latent factor series and transforms such a component, initially represented as white noise, into a univariate moving-average. (Author/SLD)
Details
- Language :
- English
- ISSN :
- 0033-3123
- Volume :
- 66
- Issue :
- 1
- Database :
- ERIC
- Journal :
- Psychometrika
- Publication Type :
- Academic Journal
- Accession number :
- EJ628796
- Document Type :
- Journal Articles<br />Reports - Descriptive