Skip Navigation


Biometrika Advance Access originally published online on March 28, 2009
Biometrika 2009 96(2):494-496; doi:10.1093/biomet/asp009
This Article
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
96/2/494    most recent
asp009v1
Right arrow References
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Peña, D.
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© 2009 Biometrika Trust

Miscellanea

Dimension reduction in time series and the dynamic factor model

Daniel Peña

Departamento de Estadística, Universidad Carlos III de Madrid, c/Madrid 126, 28903 Getafe, Spain daniel.pena{at}uc3m.es

Received for publication 1 September 2008. Revision received 1 October 2008.
  Abstract

This note shows that the dimension reduction method proposed by Li & Shedden (2002) is equivalent to the dynamic factor model introduced by Peña & Box (1987).

Key Words: Common factor • Covariance matrix • Dynamic principal component • Reduced rank


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.