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

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)

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• Statistical analysis of factor models of high dimension
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Cites Work

• scientific article; zbMATH DE number 3117083 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• scientific article; zbMATH DE number 3396952 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
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• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic factor models
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• Factor analysis by instrumental variables methods
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Instrumental variables in factor analysis
• Linear instability of annular Poiseuille flow
• Some contributions to maximum likelihood factor analysis
• Testing hypotheses about the number of factors in large factor models
• The Generalized Dynamic Factor Model
• The Identification of Structural Characteristics
• The generalized dynamic factor model consistency and rates

Cited In (6)

• Inference in group factor models with an application to mixed-frequency data
• Estimable group effects for strongly correlated variables in linear models
• Estimating the effect of a variable in a high-dimensional linear model
• 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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