Estimation of Sparsity-Induced Weak Factor Models
From MaRDI portal
Publication:6586902
DOI10.1080/07350015.2021.2008405zbMATH Open1542.62146MaRDI QIDQ6586902FDOQ6586902
Authors: Yoshimasa Uematsu, Takashi Yamagata
Publication date: 13 August 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- SOFAR: Large-Scale Association Network Learning
- The Adaptive Lasso and Its Oracle Properties
- Forecasting Using Principal Components From a Large Number of Predictors
- Title not available (Why is that?)
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Principal components estimation and identification of static factors
- Eigenvalue ratio test for the number of factors
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- High dimensional covariance matrix estimation using a factor model
- Weak and strong cross-section dependence and estimation of large panels
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Estimation of latent factors for high-dimensional time series
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- High-Dimensional Probability
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Panel data models with interactive fixed effects
- Statistical analysis of factor models of high dimension
- The varimax criterion for analytic rotation in factor analysis
- Sparse principal component analysis via regularized low rank matrix approximation
- High-dimensional covariance matrix estimation in approximate factor models
- Tests of risk premia in linear factor models
- Inference in Group Factor Models With an Application to Mixed‐Frequency Data
- Estimating latent asset-pricing factors
- Title not available (Why is that?)
- Inferences in panel data with interactive effects using large covariance matrices
This page was built for publication: Estimation of Sparsity-Induced Weak Factor Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6586902)