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Biometrika Advance Access originally published online on March 28, 2009
Biometrika 2009 96(2):494-496; doi:10.1093/biomet/asp009
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© 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.

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



References

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This Article
Right arrow Abstract Freely available
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
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Right arrow Add to My Personal Archive
Right arrow Download to citation manager
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Google Scholar
Right arrow Articles by Peña, D.
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Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?