Learning AR factor models
Optimization and Control
2020-09-08 v1
Abstract
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.
Cite
@article{arxiv.2009.02507,
title = {Learning AR factor models},
author = {Francesca Crescente and Lucia Falconi and Federica Rozzi and Augusto Ferrante and Mattia Zorzi},
journal= {arXiv preprint arXiv:2009.02507},
year = {2020}
}