Dynamic factor analysis of nonstationary multivariate time series

Peter Molenaar, Jan G. Gooijer and Bernhard Schmitz

Psychometrika, 1992, vol. 57, issue 3, 333-349

Keywords: AIC; dynamic factor analysis; Kalman filter; Markovian state-space model; nonstationarity; SBIC (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/BF02295422

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