Information, data dimension and factor structure

DOI10.1016/j.jmva.2011.11.003zbMath1352.62095MaRDI 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

information; dynamic factor models; factor structure; data set dimension; Kullback-Leibler numbers; leading index

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

94A15: Information theory (general)

62B10: Statistical aspects of information-theoretic topics

Cites Work

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