Sparse online principal component analysis for parameter estimation in factor model

DOI10.1007/S00180-022-01270-ZOpenAlexW4293182011MaRDI QIDQ6136313FDOQ6136313

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

zbMATH Keywords

factor modelonline learningsparseprincipal component methodparament estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Factor modeling for high-dimensional time series: inference for the number of factors
• Projected principal component analysis in factor models
• Sufficient forecasting using factor models
• Statistical analysis of factor models of high dimension
• Extending mixtures of factor models using the restricted multivariate skew-normal distribution
• Sparse estimation via nonconcave penalized likelihood in factor analysis model
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
• Sparse exploratory factor analysis
• Principal Component Analysis of High-Frequency Data
• Online Principal Component Analysis in High Dimension: Which Algorithm to Choose?
• Embracing the Blessing of Dimensionality in Factor Models
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Distributed estimation of principal eigenspaces

Cited In (4)

• Online Hyperparameter-Free Sparse Estimation Method
• Online learning for matrix factorization and sparse coding
• Online Forecasting Matrix Factorization
• Sparse factor model based on trend filtering

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