Learning AR factor models
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Abstract (arXiv)
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.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 5 Sep 2020.
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