Factor Analysis, Dynamic
Statistical Theory and Methods
Published Online: 15 JAN 2013
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Lippi, M. 2013. Factor Analysis, Dynamic. Encyclopedia of Environmetrics. 2.
- Published Online: 15 JAN 2013
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.
- standard factor analysis;
- dynamic factor analysis;
- high-dimensional dynamic factor models;
- principal components analysis;
- principal component analysis in the frequency domain