Sparse factor regression via penalized maximum likelihood estimation

DOI10.1007/s00362-016-0781-8zbMath1401.62091OpenAlexW2397160476MaRDI QIDQ725684

Miyuki Imada, Kei Hirose

Publication date: 2 August 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0781-8

zbMATH Keywords

multicollinearityLassocoordinate descent algorithmrotation techniquepenalized maximum likelihood estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

On the penalized maximum likelihood estimation of high-dimensional approximate factor model

Uses Software

• glmnet
• sparsenet
• PRMLT

Cites Work

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