Psychometrika · 1963 · 150 citations · 14 references
Social SciencesBiostatisticsPsychometricsTime Series AnalysisFactor AnalysisFactor ModelsMultivariate AnalysisMulti-factor Term Structure ModelsMultivariate Time Series ModelingSecond-order Factor AnalysisStatistical Factor ModelsTime-varying Factor Loadings
Factor analysis has been proposed and used as a method of statistical analysis of several measurements made on one individual repeatedly over time. This paper discusses some difficulties in applying factor analysis to multiple time series and attempts to indicate to what extent such methods can accomplish the goals of time series analysis. Some other methods are suggested.
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Introduction to Multivariate Statistical Analysis
M. G. Kendall, T. W. Anderson · Econometrica · 1959 · 1.4K citations