论文标题
学习AR因子模型
Learning AR factor models
论文作者
论文摘要
我们使用特定类别的自动回归过程面临因素分析问题。我们提出了一种近似的力矩匹配方法，以估计模型的因子数量和参数。该算法交替了因子分析的步骤和AR动力学估计的步骤。一些仿真研究表明了提出的估计量的有效性。
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.
