, Volume 50, Issue 2, pp 181–202 | Cite as

A dynamic factor model for the analysis of multivariate time series

  • Peter C. M. Molenaar


As a method to ascertain the structure of intra-individual variation,P-technique has met difficulties in the handling of a lagged covariance structure. A new statistical technique, coined dynamic factor analysis, is proposed, which accounts for the entire lagged covariance function of an arbitrary second order stationary time series. Moreover, dynamic factor analysis is shown to be applicable to a relatively short stretch of observations and therefore is considered worthwhile for psychological research. At several places the argumentation is clarified through the use of examples.


Time Series Covariance Public Policy Statistical Technique Statistical Theory 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© The Psychometric Society 1985

Authors and Affiliations

  • Peter C. M. Molenaar
    • 1
  1. 1.Department of PsychologyUniversity of AmsterdamAmsterdamThe Netherlands

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