Constrained factor models

DOI10.1198/JASA.2010.TM09123MaRDI QIDQ5255697zbMATHOpenAlexFDO

Authors Henghsiu Tsai, Ruey S. Tsay

Publication date 17 June 2015

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jasa.2010.tm09123

zbMATH Keywords

eigenvaluesPCAlikelihood ratio testleast squares estimationapproximate factor modelnoise-to-signal ratio

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Quasi maximum likelihood analysis of high dimensional constrained factor models
• A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
• Doubly constrained factor models with applications
• Statistical analysis of factor models of high dimension
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series

Cited in

(11)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Autoregressive models for matrix-valued time series
• Inferences in panel data with interactive effects using large covariance matrices
• Doubly constrained factor models with applications
• Efficient estimation of approximate factor models via penalized maximum likelihood
• A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
• Sparse Matrix Graphical Models
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Forecasting emergency medical service call arrival rates
• Quasi maximum likelihood analysis of high dimensional constrained factor models
• Determining the number of factors in constrained factor models via Bayesian information criterion

This page was built for publication: Constrained factor models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5255697)