# Learning AR factor models

arXiv: https://arxiv.org/abs/2009.02507 · HTML: https://mlsanity.com/paper/2009.02507/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Sep 2020.

## Built on by (most cited first, 1 of 1)

- [Learning Networks from Wide-Sense Stationary Stochastic Processes](https://mlsanity.com/paper/2412.03768/) (2024)

## 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.