Factor model estimation by using the alpha-EM algorithm

MaRDI QIDQ5263507zbMATH OpenFDO

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

Publication date 16 July 2015

zbMATH Keywords

factor modelconvergence speedalpha-EMalpha-logarithmlog-EM

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cited in

(3)

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

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