Merging the Idiographic Filter With Dynamic Factor Analysis to Model Process

To model processes we propose merging idiographic filter measurement with dynamic factor analysis. This involves testing whether or not the same latent dynamics (concurrent and lagged factor interrelations) can describe different individuals' observed multivariate time series. The methodology allows fitting, across different individuals, dynamic factor models that are invariant with respect to the latent dynamics, but not necessarily the factor loadings (measurement model). This methodology allows the same latent process to manifest differently from one individual to another, thus recognizing that the process is general but its realization in a given person is to some degree idiosyncratic. The approach is illustrated with empirical data.