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Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...
In this short paper, we introduce a mixture of skew-t factor analyzers as well as a family of mixture models based thereon. The mixture of skew-t distributions model that we use arises as a limiting c...
Sparse Factor Analysis for Learning and Content Analytics
factor analysis sparse probit regression sparse logistic regression Bayesian latent factor analysis personalized learning
2013/4/28
We develop a new model and algorithms for machine learning-based learning analytics, which estimate a learner's knowledge of the concepts underlying a domain, and content analytics, which estimate the...
Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
Multi-Factor Commodity Spot Price Stochastic Volatility Milstein Adaptive Markov chain Monte Carlo Particle filter Rao-Blackwellization
2011/6/21
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend
the multi-factor long-short model in [1] and [2] in two important aspects: firstly we allow for both...
High Dimensional Covariance Matrix Estimation in Approximate Factor Models
sparse estimation thresholding cross-sectional correlation common factors idiosyncratic seemingly unrelated regression
2011/6/20
The variance covariance matrix plays a central role in the inferential theories
of high dimensional factor models in finance and economics. Popular
regularization methods of directly exploiting spar...
A factor mixture analysis model for multivariate binary data
model based clustering latent trait analysis EM algorithm
2010/10/19
The paper proposes a latent variable model for binary data coming from an unobserved heterogeneous population. The heterogeneity is taken into account by replacing the traditional assumption of Gauss...
A latent factor model for spatial data with informative missingness
Binary spatial data informative cluster size multivariate data
2010/10/19
A large amount of data is typically collected during a periodontal exam. Analyzing these data poses several challenges. Several types of measurements are taken at many locations throughout the mouth....
An integrative analysis of cancer gene expression studies using Bayesian latent factor modeling
micro-environmental parameters in cancer Weibull survival models
2010/10/19
We present an applied study in cancer genomics for integrating data and inferences from laboratory experiments on cancer cell lines with observational data obtained from human breast cancer studies. T...
Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models
Approximate EM Adaptive sampling Delayed rejection Gaussian copula marginallikelihood Markov chain Monte Carlo
2010/3/10
An Markov chain Monte Carlo simulation method based on a two stage delayed
rejection Metropolis-Hastings algorithm is proposed to estimate a factor
multivariate stochastic volatility model. The firs...
Spatial Dynamic Factor Analysis
Bayesian inference forecasting Gaussian process spatial interpolation random fields
2009/9/22
A new class of space-time models derived from standard dynamic fac-
tor models is proposed. The temporal dependence is modeled by latent factors
while the spatial dependence is modeled by the factor...
Expected Posterior Priors in Factor Analysis。
High Dimensional Covariance Matrix Estimation Using a Factor Model
Factor model diverging dimensionality covariance matrixestimation consistency asymptotic normality optimal portfolio
2010/4/26
High dimensionality comparable to sample size is common in many statistical
problems. We examine covariance matrix estimation in the asymptotic
framework that the dimensionality p tends to ∞ as the ...