Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
DOI10.1080/01621459.2020.1831927OpenAlexW3094057277MaRDI QIDQ5885115FDOQ5885115
Authors: Yuan Liao, Jianqing Fan 
Publication date: 27 March 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.01252
Recommendations
- Estimating latent asset-pricing factors
- Determining the Number of Factors in Approximate Factor Models
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Determining the number of factors when the number of factors can increase with sample size
- Are more data always better for factor analysis?
principal componentsrandom projectionslarge dimensionsfactor-augmented regressionover-estimating number of factors
Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05)
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Cited In (5)
- Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors
- Are Latent Factor Regression and Sparse Regression Adequate?
- A method to evaluate the rank condition for CCE estimators
- Estimating latent asset-pricing factors
- Factor Augmented Sparse Throughput Deep ReLU Neural Networks for High Dimensional Regression
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