Estimation of high-dimensional linear factor models with grouped variables

DOI10.1016/J.JMVA.2011.10.001zbMATH Open1236.62062OpenAlexW1985530268MaRDI QIDQ764504FDOQ764504

Authors: Chris Heaton, V. Solo 

Publication date: 13 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.10.001

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zbMATH Keywords

factor analysistime seriesinstrumental variablesgrouped variable approximate factor models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)

Cites Work

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• The Identification of Structural Characteristics
• Linear instability of annular Poiseuille flow
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• Factor analysis by instrumental variables methods
• Instrumental variables in factor analysis
• An Eigenvalue for the Product of Normal Matrices
• Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach

Cited In (4)

• Estimable group effects for strongly correlated variables in linear models
• Antedependence models in the analysis of multi-group high-dimensional data
• Latent factor regression models for grouped outcomes
• Grouped variable screening for ultra-high dimensional data for linear model

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