Statistical analysis of sparse approximate factor models

DOI10.1214/20-EJS1745zbMath1473.62206MaRDI QIDQ2199708

Benjamin Poignard, Yoshikazu Terada

Publication date: 14 September 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1599789756

zbMATH Keywords

support recoverystatistical consistencyapproximate factor analysisnon-convex regulariser

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

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