標題: DOUBLY CONSTRAINED FACTOR MODELS WITH APPLICATIONS
作者: Tsai, Henghsiu
Tsay, Ruey S.
Lin, Edward M. H.
Cheng, Ching-Wei
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Akaike information criterion;constrained factor model;eigenvalues;factor model;housing starts;principal component analysis;seasonality
公開日期: 十月-2016
摘要: This paper focuses on factor analysis of multivariate time series. We propose statistical methods that enable analysts to leverage their prior knowledge or substantive information to sharpen the estimation of common factors. Specifically, we consider a doubly constrained factor model that enables analysts to specify both row and column constraints of the data matrix to improve the estimation of common factors. The row constraints may represent classifications of individual subjects whereas the column constraints may show the categories of variables. We derive both the maximum likelihood and least squares estimates of the proposed doubly constrained factor model and use simulations to study the performance of the analysis in finite samples. The Akaike information criterion is used for model selection. Monthly U.S. housing start data from nine geographical divisions are used to demonstrate the application of the proposed model.
URI: http://dx.doi.org/10.5705/ss.2013.332t
http://hdl.handle.net/11536/136355
ISSN: 1017-0405
DOI: 10.5705/ss.2013.332t
期刊: STATISTICA SINICA
Volume: 26
Issue: 4
起始頁: 1453
結束頁: 1478
顯示於類別:會議論文