Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors (Q5885115): Difference between revisions

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scientific article; zbMATH DE number 7668260

Language	Label	Description	Also known as
English	Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors	scientific article; zbMATH DE number 7668260

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instance of

scholarly article

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title

Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors (English)

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Journal of the American Statistical Association

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publication date

27 March 2023

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full work available at URL

https://arxiv.org/abs/1908.01252

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zbMATH Keywords

factor-augmented regression

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large dimensions

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over-estimating number of factors

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principal components

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random projections

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MaRDI profile type

MaRDI publication profile

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cites work

Eigenvalue Ratio Test for the Number of Factors

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Regularization of Wavelet Approximations

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Inferential Theory for Factor Models of Large Dimensions

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Statistical analysis of factor models of high dimension

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Inferences in panel data with interactive effects using large covariance matrices

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Determining the Number of Factors in Approximate Factor Models

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Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions

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Inference on Treatment Effects after Selection among High-Dimensional Controls

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Covariance regularization by thresholding

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Simultaneous analysis of Lasso and Dantzig selector

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Weak and strong cross‐section dependence and estimation of large panels

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Efficient Semiparametric Estimation of the Fama-French Model and Extensions

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A two-step estimator for large approximate dynamic factor models based on Kalman filtering

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FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control

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Factor-Adjusted Regularized Model Selection

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Projected principal component analysis in factor models

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Power Enhancement in High-Dimensional Cross-Sectional Tests

0 references

The Generalized Dynamic Factor Model

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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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Bootstrapping factor models with cross sectional dependence

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Determining the Number of Factors in the General Dynamic Factor Model

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THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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On the role of the rank condition in CCE estimation of factor-augmented panel regressions

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Supervised singular value decomposition and its asymptotic properties

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Determining the number of factors when the number of factors can increase with sample size

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Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects

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Time Series Modelling With Semiparametric Factor Dynamics

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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

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Root-N-Consistent Semiparametric Regression

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Forecasting Using Principal Components From a Large Number of Predictors

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Confounder adjustment in multiple hypothesis testing

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Cross-sectional averages versus principal components

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Identifiers

DOI

10.1080/01621459.2020.1831927

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5885115

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+Normal rank
@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Regularization of Wavelet Approximations
@@ Property / cites work: Regularization of Wavelet Approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
+Normal rank
@@ Property / cites work @@
+Statistical analysis of factor models of high dimension
+Normal rank
@@ Property / cites work @@
+Inferences in panel data with interactive effects using large covariance matrices
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
+Normal rank
@@ Property / cites work @@
+Inference on Treatment Effects after Selection among High-Dimensional Controls
+Normal rank
@@ Property / cites work @@
+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
+Normal rank
@@ Property / cites work @@
+Simultaneous analysis of Lasso and Dantzig selector
+Normal rank
@@ Property / cites work @@
+Weak and strong cross‐section dependence and estimation of large panels
+Normal rank
@@ Property / cites work @@
+Efficient Semiparametric Estimation of the Fama-French Model and Extensions
+Normal rank
@@ Property / cites work @@
+A two-step estimator for large approximate dynamic factor models based on Kalman filtering
+Normal rank
@@ Property / cites work @@
+FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control
+Normal rank
@@ Property / cites work @@
+Factor-Adjusted Regularized Model Selection
@@ Property / cites work: Factor-Adjusted Regularized Model Selection / rank @@
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Projected principal component analysis in factor models
+Normal rank
@@ Property / cites work @@
+Power Enhancement in High-Dimensional Cross-Sectional Tests
+Normal rank
@@ Property / cites work @@
+The Generalized Dynamic Factor Model
@@ Property / cites work: The Generalized Dynamic Factor Model / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
+Normal rank
@@ Property / cites work @@
+Bootstrapping factor models with cross sectional dependence
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in the General Dynamic Factor Model
+Normal rank
@@ Property / cites work @@
+THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS
+Normal rank
@@ Property / cites work @@
+On Consistency and Sparsity for Principal Components Analysis in High Dimensions
+Normal rank
@@ Property / cites work @@
+On the role of the rank condition in CCE estimation of factor-augmented panel regressions
+Normal rank
@@ Property / cites work @@
+Supervised singular value decomposition and its asymptotic properties
+Normal rank
@@ Property / cites work @@
+Determining the number of factors when the number of factors can increase with sample size
+Normal rank
@@ Property / cites work @@
+Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
+Normal rank
@@ Property / cites work @@
+Time Series Modelling With Semiparametric Factor Dynamics
+Normal rank
@@ Property / cites work @@
+Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
+Normal rank
@@ Property / cites work @@
+Root-N-Consistent Semiparametric Regression
@@ Property / cites work: Root-N-Consistent Semiparametric Regression / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+Confounder adjustment in multiple hypothesis testing
+Normal rank
@@ Property / cites work @@
+Cross-sectional averages versus principal components
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5885115