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Evolutionary Factor Analysis of Replicated Time Series

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  • Giovanni Motta
  • Hernando Ombao

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  • Giovanni Motta & Hernando Ombao, 2012. "Evolutionary Factor Analysis of Replicated Time Series," Biometrics, The International Biometric Society, vol. 68(3), pages 825-836, September.
    • Handle: RePEc:bla:biomet:v:68:y:2012:i:3:p:825-836
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    File URL: http://hdl.handle.net/10.1111/j.1541-0420.2012.01744.x
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    References listed on IDEAS

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    1. Ombao, Hernando & Ringo Ho, Moon-ho, 2006. "Time-dependent frequency domain principal components analysis of multichannel non-stationary signals," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2339-2360, May.
    2. Raquel Prado & Mike West & Andrew D. Krystal, 2001. "Multichannel electroencephalographic analyses via dynamic regression models with time‐varying lag–lead structure," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 50(1), pages 95-109.
    3. Motta, Giovanni & Hafner, Christian M. & von Sachs, Rainer, 2011. "Locally Stationary Factor Models: Identification And Nonparametric Estimation," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1279-1319, December.
    4. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
    5. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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    Cited by:

    1. Bo Zhou & David E. Moorman & Sam Behseta & Hernando Ombao & Babak Shahbaba, 2016. "A Dynamic Bayesian Model for Characterizing Cross-Neuronal Interactions During Decision-Making," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 459-471, April.
    2. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
    3. Hui ‘Fox’ Ling & Christian Franzen, 2017. "Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1277-1304, August.
    4. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    5. Boland, Joanna & Telesca, Donatello & Sugar, Catherine & Jeste, Shafali & Goldbeck, Cameron & Senturk, Damla, 2022. "A study of longitudinal trends in time-frequency transformations of EEG data during a learning experiment," Computational Statistics & Data Analysis, Elsevier, vol. 167(C).
    6. Caro Navarro, Ángela & Peña, Daniel, 2018. "Estimation of the common component in Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS 27047, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Ombao, Hernando & Pinto, Marco, 2024. "Spectral Dependence," Econometrics and Statistics, Elsevier, vol. 32(C), pages 122-159.
    8. Charles Fontaine & Ron D. Frostig & Hernando Ombao, 2020. "Modeling dependence via copula of functionals of Fourier coefficients," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 1125-1144, December.
    9. Sundararajan, Raanju R., 2021. "Principal component analysis using frequency components of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).

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