Interpretable Sparse Proximate Factors for Large Dimensions
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A comparison of methods for estimating the extremal index
- A penalized maximum likelihood approach to sparse factor analysis
- An introduction to statistical modeling of extreme values
- Are more data always better for factor analysis?
- Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Efficient semiparametric estimation of the Fama-French model and extensions
- Estimating latent asset-pricing factors
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting economic time series using targeted predictors
- Forecasting the term structure of government bond yields
- Inference in group factor models with an application to mixed-frequency data
- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large-dimensional factor modeling based on high-frequency observations
- Least squares estimation of large dimensional threshold factor models
- Online learning for matrix factorization and sparse coding
- Posterior contraction in sparse Bayesian factor models for massive covariance matrices
- Principal Component Analysis of High-Frequency Data
- Projected principal component analysis in factor models
- Rank regularized estimation of approximate factor models
- Regularization and Variable Selection Via the Elastic Net
- Robust principal component analysis?
- Sparse Bayesian infinite factor models
- Sparse factor analysis for learning and content analytics
- Sparse principal component regression with adaptive loading
- The Power of Convex Relaxation: Near-Optimal Matrix Completion
- The varimax criterion for analytic rotation in factor analysis
- Weak and strong cross-section dependence and estimation of large panels
This page was built for publication: Interpretable Sparse Proximate Factors for Large Dimensions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620981)
