Large Dimensional Factor Analysis

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Large Dimensional Factor Analysis

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Author : Jushan Bai
language : en
Publisher: Now Publishers Inc
Release Date : 2008

Large Dimensional Factor Analysis written by Jushan Bai and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.

Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.

Large Dimensional Factor Modeling Based On High Frequency Observations

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Author : Markus Pelger
language : en
Publisher:
Release Date : 2018

Large Dimensional Factor Modeling Based On High Frequency Observations written by Markus Pelger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. We derive an estimator for the number of factors and consistent and asymptotically mixed-normal estimators of the loadings and factors under the assumption of a large number of cross-sectional and high-frequency observations. The estimation approach can separate factors for continuous and rare jump risk. The estimators for the loadings and factors are based on the principal component analysis of the quadratic covariation matrix. The estimator for the number of factors uses a perturbed eigenvalue ratio statistic. In an empirical analysis of the S&P 500 firms we estimate four stable continuous systematic factors, which can be approximated very well by a market and industry portfolios. Jump factors are different from the continuous factors.

Analysis Of Subjective Data Using Multidimensional Scaling And Conjoint Measurement

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Author : John K. Andreozzi
language : en
Publisher:
Release Date : 1977

Analysis Of Subjective Data Using Multidimensional Scaling And Conjoint Measurement written by John K. Andreozzi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Marketing categories.

Dimensional Analysis Of Multi Party Roll Call Voting

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Author : Richard Allen Wiste
language : en
Publisher:
Release Date : 1971

Dimensional Analysis Of Multi Party Roll Call Voting written by Richard Allen Wiste and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Finland categories.

Using Principal Component Analysis To Estimate A Highdimensional Factor Model With High Frequency Data

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Author : Yacine Aït-Sahalia
language : en
Publisher:
Release Date : 2017

Using Principal Component Analysis To Estimate A Highdimensional Factor Model With High Frequency Data written by Yacine Aït-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Multidimensional Scaling

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Author : Mathematical Social Science Board
language : en
Publisher: Academic Press
Release Date : 1972

Multidimensional Scaling written by Mathematical Social Science Board and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Psychology categories.

Time Series In High Dimension The General Dynamic Factor Model

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Author : Marc Hallin
language : en
Publisher: World Scientific Publishing Company
Release Date : 2020-03-30

Time Series In High Dimension The General Dynamic Factor Model written by Marc Hallin and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-30 with Business & Economics categories.

Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

Journal Of The American Statistical Association

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Author :
language : en
Publisher:
Release Date : 2008

Journal Of The American Statistical Association written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Electronic journals categories.

Stockholm Studies In Educational Psychology

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Author :
language : en
Publisher:
Release Date : 1957

Stockholm Studies In Educational Psychology written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1957 with Educational psychology categories.

Essays On Dimension Reduction Techniques In Macroeconomics

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Author : Chun Wang
language : en
Publisher:
Release Date : 2008

Essays On Dimension Reduction Techniques In Macroeconomics written by Chun Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.