IALS (Q5975633)
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Iterative Alternating Least Square Estimation for Large-Dimensional Matrix Factor Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | IALS |
Iterative Alternating Least Square Estimation for Large-Dimensional Matrix Factor Model |
Statements
The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In contrast to the Principal Component Analysis (PCA)-based methods, we propose a simple Iterative Alternating Least Squares (IALS) algorithm for matrix factor model, see the details in He et al. (2023) <arXiv:2301.00360>.
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16 February 2024
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Yong He
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Wen-Xin Zhou
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