Information, data dimension and factor structure

DOI10.1016/j.jmva.2011.11.003zbMath1352.62095OpenAlexW3122361594WikidataQ115046871 ScholiaQ115046871MaRDI QIDQ765833

Pieter W. Otter, Jan P. A. M. Jacobs, Ard H. J. den Reijer

Publication date: 22 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.2011.11.003

zbMATH Keywords

informationdynamic factor modelsfactor structuredata set dimensionKullback-Leibler numbersleading index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Information theory (general) (94A15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Are more data always better for factor analysis?
• Forecasting economic time series using targeted predictors
• Dynamic system identification. Experiment design and data analysis
• Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
• Testing Hypotheses About the Number of Factors in Large Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Model Selection and Multimodel Inference
• Determining the Number of Factors in the General Dynamic Factor Model
• Regularization and Variable Selection Via the Elastic Net
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Randomly Generated Nonlinear Transformations for Pattern Recognition
• On Information and Sufficiency
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