Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
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Cites work
- scientific article; zbMATH DE number 3117093 (Why is no real title available?)
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 3396952 (Why is no real title available?)
- A note on the identification of restricted factor loading matrices
- Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem
- Bayesian exploratory factor analysis
- Bayesian learning in sparse graphical factor models via variational mean-field annealing
- Efficient simulation and integrated likelihood estimation in state space models
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting economic time series using targeted predictors
- Generic global identification in factor analysis
- High-dimensional sparse factor modeling: applications in gene expression genomics
- Identifiability of factor analysis: Some results and open problems
- Identification theory for high dimensional static and dynamic factor models
- Invariant inference and efficient computation in the static factor model
- On the identifiability of parameters in Thurstone's multiple factor analysis
- On the identification of restricted factor loading matrices: An alternative condition
- Parameter Expansion for Data Augmentation
- Principal components estimation and identification of static factors
- Rank-reducibility of a symmetric matrix and sampling theory of minimum trace factor analysis
- Seeking efficient data augmentation schemes via conditional and marginal augmentation
- Sparse Bayesian infinite factor models
- The Identification of Structural Characteristics
- The spike-and-slab LASSO
- The varimax criterion for analytic rotation in factor analysis
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- Structured prior distributions for the covariance matrix in latent factor models
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- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
- Interpretable Sparse Proximate Factors for Large Dimensions
- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Invariant inference and efficient computation in the static factor model
- Bayesian Approaches to Shrinkage and Sparse Estimation
- High-dimensional conditionally Gaussian state space models with missing data
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- A flexible predictive density combination for large financial data sets in regular and crisis periods
- Comparing stochastic volatility specifications for large Bayesian VARs
- Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem
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