Estimation of sparsity-induced weak factor models
Year of publication: |
2023
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Authors: | Uematsu, Yoshimasa ; Yamagata, Takashi |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 1, p. 213-227
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Subject: | (Adaptive) SOFAR estimator | Estimating diverging exponents | Estimation error bound | Group factor structure | Interpreting factors | Schätzung | Estimation | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis |
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