Multilevel matrix factor model
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Cites work
- Approximate factor models with weaker loadings
- Asymptotic analysis of the squared estimation error in misspecified factor models
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Autoregressive models for matrix-valued time series
- Canonical correlation-based model selection for the multilevel factors
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Eigenvalue ratio test for the number of factors
- Estimation of latent factors for high-dimensional time series
- Factor Modeling for Clustering High-Dimensional Time Series
- Factor Models for High-Dimensional Tensor Time Series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor models for matrix-valued high-dimensional time series
- Identification and estimation of threshold matrix-variate factor models
- Inference in group factor models with an application to mixed-frequency data
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- Projected estimation for large-dimensional matrix factor models
- Regime-switching factor models for high-dimensional time series
- Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Tensor factor model estimation by iterative projection
- Wavelets-based clustering of multivariate time series
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