Estimation of high-dimensional linear factor models with grouped variables
From MaRDI portal
Publication:764504
DOI10.1016/j.jmva.2011.10.001zbMath1236.62062MaRDI QIDQ764504
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
62H25: Factor analysis and principal components; correspondence analysis
62H12: Estimation in multivariate analysis
62P30: Applications of statistics in engineering and industry; control charts
65C05: Monte Carlo methods
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Are more data always better for factor analysis?
- Dynamic factors in the presence of blocks
- Dynamic factor models
- Factor analysis by instrumental variables methods
- The generalized dynamic factor model consistency and rates
- Instrumental variables in factor analysis
- Some contributions to maximum likelihood factor analysis
- An Eigenvalue for the Product of Normal Matrices
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
- Linear instability of annular Poiseuille flow
- Testing Hypotheses About the Number of Factors in Large Factor Models
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Forecasting Using Principal Components From a Large Number of Predictors
- Determining the Number of Factors in the General Dynamic Factor Model
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- The Generalized Dynamic Factor Model
- The Identification of Structural Characteristics
