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A novel algorithm for dynamic factor analysis
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DOI：10.1016/j.amc.2005.08.032.png)
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Abstract
En 中文
In this paper, a dynamic factor model is proposed to extract the dynamic factors from time series data. In order to deal with the problem of scaling, the cross-correlation matrices (CCM) are first employed to cluster the time series data. Then, the dynamic factors are extracted using the revised independent component analysis (ICA). In addition, a numerical study is used to demonstrate the proposed method. On the basis of the simulated results, we can conclude that the proposed method can really extract the effective dynamic factors. (c) 2005 Elsevier Inc. All rights reserved.
Keywords:
dynamic factor model
factor analysis
cross-correlation matrices (CCM)
independent component analysis (ICA)
time series
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