Rank regularized estimation of approximate factor models
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Publication:2323367
DOI10.1016/j.jeconom.2019.04.021zbMath1452.62405OpenAlexW2938549779WikidataQ128063694 ScholiaQ128063694MaRDI QIDQ2323367
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.021
nuclear-norm minimizationlow rank decompositionrobust principal componentsminimum-ranksingular-value thresholding
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)
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Uses Software
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