Constrained Factor Models

DOI10.1198/jasa.2010.tm09123zbMath1388.62179OpenAlexW2064741014MaRDI QIDQ5255697

Henghsiu Tsai, Ruey S. Tsay

Publication date: 17 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2010.tm09123

zbMATH Keywords

likelihood ratio testeigenvaluesleast squares estimationPCAapproximate factor modelnoise-to-signal ratio

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

Inferences in panel data with interactive effects using large covariance matrices ⋮ Efficient estimation of approximate factor models via penalized maximum likelihood ⋮ Determining the number of factors in constrained factor models via Bayesian information criterion ⋮ Forecasting emergency medical service call arrival rates ⋮ Constrained Factor Models for High-Dimensional Matrix-Variate Time Series ⋮ Sparse Matrix Graphical Models ⋮ Autoregressive models for matrix-valued time series ⋮ A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models ⋮ Quasi maximum likelihood analysis of high dimensional constrained factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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