Doubly constrained factor models with applications

DOI10.5705/SS.2013.332TMaRDI QIDQ2828609zbMATH OpenOpenAlexFDO

Authors Henghsiu Tsai, Ruey S. Tsay, Edward M. H. Lin, Ching-Wei Cheng

Publication date 26 October 2016

Published in Statistica Sinica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/b28901a88232dcf0652f97da7a5f4a0e8960d0ea

zbMATH Keywords

Akaike information criterionconstrained factor modeleigenvaluesfactor modelhousing startsprincipal component analysisseasonality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(4)

• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Constrained factor models
• Determining the number of factors in constrained factor models via Bayesian information criterion
• Factor-driven two-regime regression

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