Indentifying and interpreting the factors in factor models via sparsity : different approaches
Thomas Despois, Catherine Doz
| Alternative title: | Identifying and interpreting the factors in factor models via sparsity |
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| Year of publication: |
[2022] ; This version: March 2, 2022
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| Authors: | Despois, Thomas ; Doz, Catherine |
| Publisher: |
Paris : Paris School of Economics |
| Subject: | factor model | identification | factor interpretation | sparsity | sparse PCA | factor rotation | Faktorenanalyse | Factor analysis | Theorie | Theory | Prognoseverfahren | Forecasting model |
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