- A Comparison of Pseudo-Maximum Likelihood and Asymptotically Distribution-Free Dynamic Factor Analysis Parameter Estimation in Fitting Covariance-Structure Models to Block-Toeplitz Representing Single-Subject Multivariate Time-Series
- Multivariate Behavioral Research
- Volume | Issue number
- 33 | 3
- Pages (from-to)
- Document type
- Faculty of Social and Behavioural Sciences (FMG)
- Psychology Research Institute (PsyRes)
The study of intraindividual variability pervades empirical inquiry in virtually all subdisciplines of psychology. The statistical analysis of multivariate time-series data - a central product of intraindividual investigations - requires special modeling techniques. The dynamic factor model (DFM), which is a generalization of the traditional common factor model, has been proposed by Molenaar (1985) for systematically extracting information from multivariate time-series via latent variable modeling. Implementation of the DFM model has taken several forms, one of which involves specifying it as a covariance-structure model and estimating its parameters from a block-Toeplitz matrix derived from the multivariate time-series. We compare two methods for estimating DFM parameters within a covariance-structure framework - pseudo-Maximum Likelihood (p-ML) and Asymptotically Distribution Free (ADF) estimation - by means of a Monte Carlo simulation. Both methods appear to give consistent model parameter estimates of comparable precision, but only the ADF method gives standard errors and chi-square statistics that appear to be consistent. The relative ordering of the values of all estimates appears to be very similar across methods. When the manifest time-series is relatively short, the two methods appear to perform about equally well.
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