Rotation in the dynamic factor modeling of multivariate stationary time series

Psychometrika

Volumn 66, Issue 1, 2001, Pages 99-107

  Molenaar, Peter C ^a   Nesselroade, John R ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF VIRGINIA   (United States)

Author keywords

Dynamic factor model; Identifiability; Moving average; Polynomial division; Rotation criteria

Indexed keywords

EID: 0035532066     PISSN: 00333123     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02295735     Document Type: Article

References (24)

1. Anderson, T.W. (1963). The use of factor analysis in the statistical analysis of multiple time series. Psychometrika, 28, 1-24.
2. Beijsterveldt, C.E.M., Molenaar, P.C.M., de Geus, E.C.J., & Boomsma, D.I. (1996). Heritability of human brain functioning as assessed by electroencephalography (EEG). American Journal of Human Genetics, 58, 562-573.
3. Cattell, R.B. (1952). Factor analysis. New York, NY: Harper.
4. Cattell, R.B. (1963). The interaction of hereditary and environmental influences. The British Journal of Statistical Psychology, 16, 191-210.
5. Cattell, R. B., Cattell, A. K. S., & Rhymer, R. M. (1947). P-technique demonstrated in determining psychophysical source traits in a normal individual. Psychometrika, 12, 267-288.
6. Cattell, R. B., & Luborsky, L.B. (1950). P-technique demonstrated as a new clinical method for determining personality and symptom structure. The Journal of General Psychology, 42, 3-24.
7. Engle, R., & Watson, M. (1981). A one-factor multivariate time series model of metropolitan wage rates. Journal of the American Statistical Association, 76, 774-781.
8. Geweke, J.F., & Singleton, K.J. (1981). Maximum likelihood "confirmatory" factor analysis of economic time series. International Economic Review, 22, 37-54.
9. Hannan, E.J. (1970). Multiple time series. New York: John Wiley & Sons.
10. Holtzman, W.H. (1963). Statistical models for the study of change in the single case. In C. W. Harris (Ed.), Problems in measuring change (pp. 199-211). Madison, WI: University of Wisconsin Press.
11. IMSL library reference manual. (1980). Houston: IMSL, Inc.
12. Jöreskog, K.G., & Sörbom, D. (1993). LISREL 8 user's reference guide. Chicago: Scientific Software International.
13. Molenaar, P.C.M. (1985). A dynamic factor model for the analysis of multivariate time series. Psychometrika, 50, 181-202.
14. Molenaar, P.C.M. (1987). Dynamic factor analysis in the frequency domain: Causal modeling of multivariate psychophysiological time series. Multivariate Behavioral Research, 22, 329-353.
15. Molenaar, P.C.M. (1994a). Dynamic factor analysis of psychophysiological signals. In J.R. Jennings, P. Ackles, & M.G.H. Coles (Eds.), Advances in psycho-physiology (Vol. 5, pp. 229-302). London: Jessica Kingsley Publishers.
16. Molenaar, P.C.M. (1994b). Dynamic latent variable models in developmental psychology. In A. von Eye & C.C. Clogg (Eds.), Latent variables analysis: Applications for developmental research (pp. 155-180). Newbury Park, CA: Sage Publications.
17. Molenaar, P.C.M., de Gooijer, J., & Schmitz, B. (1992). Dynamic factor analysis of nonstationary multivariate time series. Psychometrika, 57, 333-349.
18. Nesselroade, J.R., & Molenaar, P.C.M. (1999). Pooling lagged covariance structures based on short, multivariate time-series for dynamic factor analysis. In R.H. Hoyle (Ed.), Statistical strategies for small sample research (xxx-xxx). Newbury Park, CA: Sage Publications.
19. Nunez, P.L. (1981). Electric fields of the brain: The neurophysics of EEG. New York: Oxford University Press.
20. Nunez, P.L. (1995). Neocortical dynamics and human EEG rhythms. New York: Oxford University Press.
21. Regan, D. (1989). Human electrophysiology: Evoked potentials and evoked magnetic fields in science and medicine. Amsterdam: Elsevier.
22. Robinson, E.A. (1967). Multichannel time series analysis with digital computer programs. San Francisco: Holden-Day.
23. Robinson, E.A., & De Silva, M.T. (1978). Digital signal processing and time series analysis. San Francisco: Holden-Day.
24. Wood, P., & Brown, D. (1994). The study of intraindividual differences by means of dynamic factor models: Rationale, implementation, and interpretation. Psychological Bulletin, 116(1), 166-186.