Factor model estimation by using the alpha-EM algorithm

zbMATH Open1329.62259MaRDI QIDQ5263507FDOQ5263507

Authors: Tenjie Jia, A. P. Mullhaupt, Lorne Applebaum, Xu Dong 

Publication date: 16 July 2015

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zbMATH Keywords

factor modelconvergence speedalpha-EMalpha-logarithmlog-EM

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cited In (3)

• The α-EM algorithm: surrogate likelihood maximization using α-logarithmic information measures
• A spectral EM algorithm for dynamic factor models
• Computational algorithms for the factor model

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