Doubly Constrained Factor Models with Applications

DOI10.5705/SS.2013.332TzbMath1356.62078OpenAlexW2520103860MaRDI QIDQ2828609

Ruey S. Tsay, Edward M. H. Lin, Ching-Wei Cheng, Henghsiu Tsai

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b28901a88232dcf0652f97da7a5f4a0e8960d0ea

zbMATH Keywords

seasonalityeigenvaluesprincipal component analysisAkaike information criterionfactor modelconstrained factor modelhousing starts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Determining the number of factors in constrained factor models via Bayesian information criterion ⋮ Constrained Factor Models for High-Dimensional Matrix-Variate Time Series

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