Information, data dimension and factor structure
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Publication:765833
DOI10.1016/j.jmva.2011.11.003zbMath1352.62095OpenAlexW3122361594WikidataQ115046871 ScholiaQ115046871MaRDI QIDQ765833
Pieter W. Otter, Jan P. A. M. Jacobs, Ard H. J. den Reijer
Publication date: 22 March 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2011.11.003
informationdynamic factor modelsfactor structuredata set dimensionKullback-Leibler numbersleading index
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Cites Work
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- Model Selection and Multimodel Inference
- Determining the Number of Factors in the General Dynamic Factor Model
- Regularization and Variable Selection Via the Elastic Net
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Randomly Generated Nonlinear Transformations for Pattern Recognition
- On Information and Sufficiency
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