Estimation of Sparsity-Induced Weak Factor Models
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Cites work
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Cited in
(19)- Local projection inference in high dimensions
- Tucker tensor factor models: matricization and mode-wise PCA estimation
- The dynamic, the static, and the weak: factor models and the analysis of high-dimensional time series
- Aggregated Projection Method: A New Approach for Group Factor Model
- High dimensional factor analysis with weak factors
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Distinguishing Time-Varying Factor Models
- Model selection for generalized linear models with weak factors
- Estimation of large covariance matrices with mixed factor structures
- Huber principal component analysis for large-dimensional factor models
- Selecting the number of factors in approximate factor models using group variable regularization
- Indian Buffet process factor model for counterfactual analysis
- Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
- Instability of Factor Strength in Asset Returns
- Estimation of the number of factors for high-dimensional data with missing values
- Noise variance estimation in a large-dimensional approximate factor model and its application
- Sparse generalized factor models with weaker loadings
- Sparse factor model for high dimensional time series
- Identification through sparsity in factor models: the _1-rotation criterion
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