Factor models for large and incomplete data sets with unknown group structure

Máximo Camacho; Germán López-Buenache

doi:10.1016/j.ijforecast.2022.05.012

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Factor models for large and incomplete data sets with unknown group structure

Máximo Camacho Germán López-Buenache

Year: 2022 Journal: International Journal of Forecasting Vol: 39 (3)Pages: 1205-1220 Publisher: Elsevier BV

DOI: 10.1016/j.ijforecast.2022.05.012

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Keywords:

Cluster analysis Group (periodic table) Factor analysis Group structure Expectation–maximization algorithm Computer science Series (stratigraphy) Factor (programming language) Econometrics Data mining Missing data Monte Carlo method Statistics Algorithm Mathematics Artificial intelligence Maximum likelihood

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Complex Systems and Time Series Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Financial Risk and Volatility Modeling

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Monetary Policy and Economic Impact

Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance

Factor models for large and incomplete data sets with unknown group structure

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