IALS

CRANIALSMaRDI QIDQ5975633FDOQ5975633

Iterative Alternating Least Square Estimation for Large-Dimensional Matrix Factor Model

Ran Zhao, Wen-Xin Zhou, Yong He

Last update: 16 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.1.0, 0.1.3

Description

The matrix factor model has drawn growing attention for its advantage in achieving two-directional dimension reduction simultaneously for matrix-structured observations. In contrast to the Principal Component Analysis (PCA)-based methods, we propose a simple Iterative Alternating Least Squares (IALS) algorithm for matrix factor model, see the details in He et al. (2023) <arXiv:2301.00360>.

Cites work

• An Efficient Iterative Least Squares Algorithm for Large-dimensional Matrix Factor Model via Random Projection

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