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Factor Analysis, Dynamic

Statistical Theory and Methods

  1. Marco Lippi

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.vnn083

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Lippi, M. 2013. Factor Analysis, Dynamic. Encyclopedia of Environmetrics. 2.

Author Information

  1. Università di Roma La Sapienza and EIEF, Rome, Italy

Publication History

  1. Published Online: 15 JAN 2013

Abstract

We shortly reviewed small- and medium-sized standard and dynamic factor analysis, and then concentrate on recent studies on high-dimensional dynamic factor models. The latter allow the construction of consistent estimators of the factor model, which are based on principal components either in the time or in the frequency domain. Though mainly developed within Time Series Econometrics, high-dimensional factor models are quite appealing for applications to environmental datasets.

Keywords:

  • standard factor analysis;
  • dynamic factor analysis;
  • high-dimensional dynamic factor models;
  • principal components analysis;
  • principal component analysis in the frequency domain