Sparse and Robust Factor Modelling
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Citations
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Cited by:
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
- Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," Working Papers halshs-03626503, HAL.
- Smeekes, Stephan & Wijler, Etienne, 2018.
"Macroeconomic forecasting using penalized regression methods,"
International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
- Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
- Kristensen Johannes Tang, 2014.
"Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 309-338, May.
- Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, Department of Economics and Business Economics, Aarhus University.
- Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," PSE Working Papers halshs-03626503, HAL.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
- Johannes Tang Kristensen, 2013. "Diffusion Indexes with Sparse Loadings," CREATES Research Papers 2013-22, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
dimension reduction; forecasting; outliers; regularization;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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