Dynamic Factor Analysis
Dynamic Factor Analysis
复制标题
动态因素分析
DOI：
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
I. Corazziari
中科院分区：
文献类型：
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作者：
I. Corazziari
本文是对Coppi和Zannella在70年代提出的动态因子分析（AFD）模型的扩展。AFD模型是针对第三维为时间的数据数组的。他们认为时间是引起部分观察到的变率的一个明确因素。AFD模型整合了两种不同的策略。第一个目的是研究变量和单位之间的关系，随着时间的推移，通过特定协方差矩阵的析因分析。二是利用时间回归和自回归模型研究变量和单元的时间演化。
This paper represents an extension of Dynamic Factor Analysis (AFD) models proposed in the ‘70s by Coppi and Zannella. AFD models are specific for data-array whose third dimension is time. They consider time as an explicit element which gives rise to part of the observed variability. AFD models integrate two different strategies. The first aims at studying the relationships between variables and units, averaged over time, by factorial analysis of specific covariance-matrices. The second aims at studying time evolution of both variables and units by time regression and autoregressive models.