Sparse online principal component analysis for parameter estimation in factor model

DOI10.1007/S00180-022-01270-ZMaRDI QIDQ6136313zbMATH OpenOpenAlexFDO

Authors Guangbao Guo, Chunjie Wei, Guoqi Qian

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

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

Cited in

(4)

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

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