A new class of dynamic models for stationary time series is presented. It is a natural dynamic generalization of the well-known factor-analysis model widely used in statistics. Factor-analysis models of time series are also related to dynamic errors-in-variables models discussed in the recent literature. They provide simple mathematical schemes for the identification of multivariate time series which avoid the unjustified introduction of causality relations among the variables, as for example subsumed by conventional ARMAX models. © 1986 Oxford University Press.
DYNAMIC FACTOR-ANALYSIS MODELS FOR STATIONARY PROCESSES
PICCI, GIORGIO;PINZONI, STEFANO
1986
Abstract
A new class of dynamic models for stationary time series is presented. It is a natural dynamic generalization of the well-known factor-analysis model widely used in statistics. Factor-analysis models of time series are also related to dynamic errors-in-variables models discussed in the recent literature. They provide simple mathematical schemes for the identification of multivariate time series which avoid the unjustified introduction of causality relations among the variables, as for example subsumed by conventional ARMAX models. © 1986 Oxford University Press.
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