The sparse dynamic factor model: a regularised quasi-maximum likelihood approach

DOI10.1007/S11222-023-10378-1MaRDI QIDQ6494410zbMATH OpenFDO

Authors Tak-Shing T. Chan

Publication date 30 April 2024

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11222-023-10378-1

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• A dynamic factor model for the analysis of multivariate time series
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• ADMM Algorithmic Regularization Paths for Sparse Statistical Machine Learning
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• An analytical solution for approximating simple structure in factor analysis
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Covariances for smoothed estimates in state space models
• Determining the Number of Factors in Approximate Factor Models
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Fast filtering and smoothing for multivariate state space models
• Forecasting economic time series using targeted predictors
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Intervention Analysis with Control Groups
• Matrix differential calculus with applications in statistics and econometrics
• On the Global Linear Convergence of the ADMM with MultiBlock Variables
• Principal components estimation and identification of static factors
• Rank regularized estimation of approximate factor models
• Rotation to sparse loadings using L^p losses and related inference problems
• The varimax criterion for analytic rotation in factor analysis
• Time series analysis by state space methods.

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