Zamparo, M.; Stramaglia, S.; Banavar, J.R.; Maritan, A. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 11, pp. 3159-3169
Factor analysis is a well known statistical method to describe the variability among observed variables in terms of a smaller number of unobserved latent variables called factors. While dealing with multivariate time series, the temporal correlation structure of data may be modeled by including...