Interpretable sparse proximate factors for large dimensions
Year of publication: |
2022
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Authors: | Pelger, Markus ; Xiong, Ruoxuan |
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. 40.2022, 4, p. 1642-1664
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Subject: | Extreme value theory | Principal components | Factor analysis | Large-dimensional panel data | Interpretability | Shrinkage | Sparse weights | Faktorenanalyse | Panel | Panel study | Theorie | Theory |
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