Estimation of high-dimensional linear factor models with grouped variables.
Chris HeatonVictor SoloPublished in: J. Multivar. Anal. (2012)
Keyphrases
- high dimensional
- estimation problems
- complex systems
- variable selection
- nonlinear models
- closed form
- probabilistic model
- dimensionality reduction
- multi dimensional
- linear models
- statistical models
- parametric models
- hidden variables
- monte carlo simulation
- neural network
- model selection
- prior knowledge
- similarity measure