Diffusion Indexes With Sparse Loadings

DOI10.1080/07350015.2015.1084308MaRDI QIDQ6616623zbMATH OpenFDO

Authors Johannes Tang Kristensen

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1084308

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
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• Forecasting economic time series using targeted predictors
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting using targeted diffusion indexes
• Handbook of economic forecasting. Volume 1
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Least angle regression. (With discussion)
• Least squares after model selection in high-dimensional sparse models
• Regularization and Variable Selection Via the Elastic Net
• Sparse principal component analysis via regularized low rank matrix approximation
• The Adaptive Lasso and Its Oracle Properties
• To combine forecasts or to combine information?

Cited in

(1)

• Identification through sparsity in factor models: the _1-rotation criterion

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