High-dimensional factor copula models with estimation of latent variables

DOI10.1016/j.jmva.2023.105263arXiv2205.14487OpenAlexW4389003099MaRDI QIDQ6200937

Xinyao Fan, Joe, Harry

Publication date: 25 March 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.14487

zbMATH Keywords

factor scoresidentifiabilitytail dependencebi-factorproxy variablesoblique factor

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

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• Parsimonious graphical dependence models constructed from vines
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