Matches in SemOpenAlex for { <https://semopenalex.org/work/W2893476104> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2893476104 endingPage "89" @default.
- W2893476104 startingPage "76" @default.
- W2893476104 abstract "We propose a Sparse-Group Independent Component Analysis (SG-ICA) method to extract independent factors from high dimensional multivariate data. The method provides a unified and flexible framework that automatically identifies the number of factors and simultaneously estimates a sparse loading matrix, enables us to discover important features and offers improved interpretability of the estimators. We establish the consistency and asymptotic normality of the loading matrix estimator, demonstrate its finite sample performance with simulation studies, and illustrate its application using the daily US Overnight Index Swap rates from Oct 2011 to Mar 2015 with 15 maturities ranging from 1 week to 30 years. With higher efficiency of extracting factors, the forecasting performance of the SG-ICA is remarkably better than the popular parametric DNS model in an era of quantitative easing with short-term interest rate being close to zero." @default.
- W2893476104 created "2018-10-05" @default.
- W2893476104 creator A5033740195 @default.
- W2893476104 creator A5049306296 @default.
- W2893476104 creator A5087345726 @default.
- W2893476104 creator A5090170093 @default.
- W2893476104 date "2019-05-01" @default.
- W2893476104 modified "2023-10-16" @default.
- W2893476104 title "Sparse-Group Independent Component Analysis with application to yield curves prediction" @default.
- W2893476104 cites W1491770470 @default.
- W2893476104 cites W1972163814 @default.
- W2893476104 cites W1973419624 @default.
- W2893476104 cites W1978853309 @default.
- W2893476104 cites W1987371344 @default.
- W2893476104 cites W1990239957 @default.
- W2893476104 cites W1998651166 @default.
- W2893476104 cites W2000894924 @default.
- W2893476104 cites W2019502123 @default.
- W2893476104 cites W2020925091 @default.
- W2893476104 cites W2036379242 @default.
- W2893476104 cites W2037038993 @default.
- W2893476104 cites W2037248439 @default.
- W2893476104 cites W2071128523 @default.
- W2893476104 cites W2074682976 @default.
- W2893476104 cites W2077252204 @default.
- W2893476104 cites W2079775628 @default.
- W2893476104 cites W2089049134 @default.
- W2893476104 cites W2094181350 @default.
- W2893476104 cites W2099741732 @default.
- W2893476104 cites W2108384452 @default.
- W2893476104 cites W2123446302 @default.
- W2893476104 cites W2138019504 @default.
- W2893476104 cites W2141224535 @default.
- W2893476104 cites W2267270122 @default.
- W2893476104 cites W2614525421 @default.
- W2893476104 cites W2789438342 @default.
- W2893476104 cites W2795528501 @default.
- W2893476104 cites W3121150054 @default.
- W2893476104 cites W3124477952 @default.
- W2893476104 doi "https://doi.org/10.1016/j.csda.2018.08.027" @default.
- W2893476104 hasPublicationYear "2019" @default.
- W2893476104 type Work @default.
- W2893476104 sameAs 2893476104 @default.
- W2893476104 citedByCount "1" @default.
- W2893476104 countsByYear W28934761042020 @default.
- W2893476104 crossrefType "journal-article" @default.
- W2893476104 hasAuthorship W2893476104A5033740195 @default.
- W2893476104 hasAuthorship W2893476104A5049306296 @default.
- W2893476104 hasAuthorship W2893476104A5087345726 @default.
- W2893476104 hasAuthorship W2893476104A5090170093 @default.
- W2893476104 hasConcept C105795698 @default.
- W2893476104 hasConcept C117251300 @default.
- W2893476104 hasConcept C154945302 @default.
- W2893476104 hasConcept C161584116 @default.
- W2893476104 hasConcept C185429906 @default.
- W2893476104 hasConcept C199163554 @default.
- W2893476104 hasConcept C2776157432 @default.
- W2893476104 hasConcept C2776436953 @default.
- W2893476104 hasConcept C2781067378 @default.
- W2893476104 hasConcept C33923547 @default.
- W2893476104 hasConcept C41008148 @default.
- W2893476104 hasConcept C51432778 @default.
- W2893476104 hasConceptScore W2893476104C105795698 @default.
- W2893476104 hasConceptScore W2893476104C117251300 @default.
- W2893476104 hasConceptScore W2893476104C154945302 @default.
- W2893476104 hasConceptScore W2893476104C161584116 @default.
- W2893476104 hasConceptScore W2893476104C185429906 @default.
- W2893476104 hasConceptScore W2893476104C199163554 @default.
- W2893476104 hasConceptScore W2893476104C2776157432 @default.
- W2893476104 hasConceptScore W2893476104C2776436953 @default.
- W2893476104 hasConceptScore W2893476104C2781067378 @default.
- W2893476104 hasConceptScore W2893476104C33923547 @default.
- W2893476104 hasConceptScore W2893476104C41008148 @default.
- W2893476104 hasConceptScore W2893476104C51432778 @default.
- W2893476104 hasFunder F4320311041 @default.
- W2893476104 hasFunder F4320320698 @default.
- W2893476104 hasFunder F4320320882 @default.
- W2893476104 hasFunder F4320321001 @default.
- W2893476104 hasFunder F4320322795 @default.
- W2893476104 hasLocation W28934761041 @default.
- W2893476104 hasOpenAccess W2893476104 @default.
- W2893476104 hasPrimaryLocation W28934761041 @default.
- W2893476104 hasRelatedWork W1485935964 @default.
- W2893476104 hasRelatedWork W1519593092 @default.
- W2893476104 hasRelatedWork W1999176266 @default.
- W2893476104 hasRelatedWork W2000146938 @default.
- W2893476104 hasRelatedWork W2053204866 @default.
- W2893476104 hasRelatedWork W2409549739 @default.
- W2893476104 hasRelatedWork W2890346561 @default.
- W2893476104 hasRelatedWork W2937317703 @default.
- W2893476104 hasRelatedWork W2994049613 @default.
- W2893476104 hasRelatedWork W3162900173 @default.
- W2893476104 hasVolume "133" @default.
- W2893476104 isParatext "false" @default.
- W2893476104 isRetracted "false" @default.
- W2893476104 magId "2893476104" @default.
- W2893476104 workType "article" @default.