2000 character limit reached
Learning AR factor models
Published 5 Sep 2020 in math.OC | (2009.02507v1)
Abstract: We face the factor analysis problem using a particular class of auto-regressive processes. We propose an approximate moment matching approach to estimate the number of factors as well as the parameters of the model. This algorithm alternates a step of factor analysis and a step of AR dynamics estimation. Some simulation studies show the effectiveness of the proposed estimator.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.