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Mahalanobis distances on factor model based estimation
Dai, Deliang - In: Econometrics : open access journal 8 (2020) 1/10, pp. 1-11
A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...
Persistent link: https://www.econbiz.de/10012265396
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011452923
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Generalized linear latent variable models with flexible distribution of latent variables
Irincheeva, Irina; Cantoni, Eva; Genton, Marc G. - 2009
Persistent link: https://www.econbiz.de/10008759070
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Estimating UK factor models using the multivariate skew normal distribution
Adcock, C. J. - In: Linear factor models in finance, (pp. 12-29). 2005
Persistent link: https://www.econbiz.de/10003304023
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The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian; Jasiak, Joann; Sufana, Razvan - In: Journal of econometrics 150 (2009) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
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The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian; Jasiak, Joann; Sufana, Razvan - 2004
Persistent link: https://www.econbiz.de/10002597955
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Dynamic factor models for multivariate count data : an application to stock-market trading activity
Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 73-85
Persistent link: https://www.econbiz.de/10009159117
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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Large-dimensional factor analysis without moment constraints
He, Yong; Kong, Xinbing; Yu, Long; Zhang, Xinsheng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 302-312
Persistent link: https://www.econbiz.de/10012804113
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Current topics in the theory and application of latent variable models
Edwards, Michael C. (contributor); MacCallum, Robert C. (ed.) - 2013 - 1. publ.
Persistent link: https://www.econbiz.de/10010193477