Search Results - subject:"sparse PCA"

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Identifying and interpreting the factors in factor models via sparsity : different approaches

Despois, Thomas; Doz, Catherine - In: Journal of applied econometrics 38 (2023) 4, pp. 533-555

Persistent link: https://www.econbiz.de/10014288017

Indentifying and interpreting the factors in factor models via sparsity : different approaches

Despois, Thomas; Doz, Catherine - 2022 - This version: March 2, 2022

Persistent link: https://www.econbiz.de/10013207014

Another look into the factor model black box : factor interpretation and structural (in)stability

Despois, Thomas; Doz, Catherine - 2019 - This version: February 4, 2020

Persistent link: https://www.econbiz.de/10012234615

Generalized power method for sparse principal component analysis

Journée, Michel; Nesterov, Yurii; Richtarik, Peter; … - Center for Operations Research and Econometrics (CORE), … - 2008

In this paper we develop a new approach to sparse principal component analysis (sparse PCA). We propose two single …-unit and two block optimization formulations of the sparse PCA problem, aimed at extracting a single sparse dominant principal …

Persistent link: https://www.econbiz.de/10005008310