Factor Analysis, Dynamic
Marco Lippi
Abstract
Marco Lippi
Abstract
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.
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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.
Key concepts: Dynamic factor, Factor (programming language), Estimator, Factor analysis, Principal component analysis, Series (stratigraphy), Econometrics, Computer science