The Robust Generalized Methods of Moments (RGMM) and the Indirect Robust GMM (IRGMM) are algorithms for estimating parameter values in statistical models, such as diffusion models for interest rates, in a robust way. The long computation time is one of the main challenges facing these methods....

We propose an improved method for generalized constrained canonical correlation analysis (GCCANO). In GCCANO, data matrices are first decomposed into several submatrices according to some external information on rows and columns of the data matrices. Decomposed matrices are then subjected to...

Generalized canonical correlation analysis is a versatile technique that allows the joint analysis of several sets of data matrices. The generalized canonical correlation analysis solution can be obtained through an eigenequation and distributional assumptions are not required. When dealing with...

We propose a new method of structural equation modeling (SEM) for longitudinal and time series data, named Dynamic GSCA (Generalized Structured Component Analysis). The proposed method extends the original GSCA by incorporating a multivariate autoregressive model to account for the dynamic...