On factor models with random missing: EM estimation, inference, and cross validation
We consider the estimation and inference in approximate factor models with random missing values. We show that with the low rank structure of the common component, we can estimate the factors and factor loadings consistently with the missing values replaced by zeros. We establish the asymptotic dist...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2482 https://ink.library.smu.edu.sg/context/soe_research/article/3481/viewcontent/FactorModels_RandomMissing_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |