Sparse online principal component analysis for parameter estimation in factor model
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Publication:6136313
DOI10.1007/s00180-022-01270-zOpenAlexW4293182011MaRDI QIDQ6136313
Chunjie Wei, Guoqi Qian, Guangbao Guo
Publication date: 29 August 2023
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-022-01270-z
Cites Work
- Sufficient forecasting using factor models
- Sparse estimation via nonconcave penalized likelihood in factor analysis model
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Factor modeling for high-dimensional time series: inference for the number of factors
- Statistical analysis of factor models of high dimension
- Extending mixtures of factor models using the restricted multivariate skew-normal distribution
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Sparse exploratory factor analysis
- Distributed estimation of principal eigenspaces
- Embracing the Blessing of Dimensionality in Factor Models
- Principal Component Analysis of High-Frequency Data
- Projected principal component analysis in factor models
- Online Principal Component Analysis in High Dimension: Which Algorithm to Choose?
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