Semiparametric functional factor models with Bayesian rank selection

DOI10.1214/23-ba1410arXiv2108.02151OpenAlexW3188835777MaRDI QIDQ6203345

Antonio Canale, Daniel R. Kowal

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02151

zbMATH Keywords

nonparametric regressionfactor analysisyield curveshrinkage priorspike-and-slab prior

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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