Information, data dimension and factor structure
DOI10.1016/J.JMVA.2011.11.003zbMATH Open1352.62095OpenAlexW3122361594WikidataQ115046871 ScholiaQ115046871MaRDI QIDQ765833FDOQ765833
Authors: Jan P. A. M. Jacobs, Pieter W. Otter, 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
Recommendations
informationdynamic factor modelsfactor structuredata set dimensionKullback-Leibler numbersleading index
Statistical aspects of information-theoretic topics (62B10) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Information theory (general) (94A15)
Cites Work
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- Inferential Theory for Factor Models of Large Dimensions
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- Determining the Number of Factors in the General Dynamic Factor Model
- Regularization and Variable Selection Via the Elastic Net
- On Information and Sufficiency
- Testing hypotheses about the number of factors in large factor models
- Model Selection and Multimodel Inference
- Dynamic system identification. Experiment design and data analysis
- Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach
- Randomly Generated Nonlinear Transformations for Pattern Recognition
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