Constrained factor models
DOI10.1198/JASA.2010.TM09123zbMATH Open1388.62179OpenAlexW2064741014MaRDI QIDQ5255697FDOQ5255697
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
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eigenvaluesPCAlikelihood ratio testleast squares estimationapproximate factor modelnoise-to-signal ratio
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)
Cited In (10)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
- Inferences in panel data with interactive effects using large covariance matrices
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Determining the number of factors in constrained factor models via Bayesian information criterion
- Quasi maximum likelihood analysis of high dimensional constrained factor models
- Forecasting emergency medical service call arrival rates
- Autoregressive models for matrix-valued time series
- Sparse Matrix Graphical Models
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
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