High-Dimensional Factor Models with an Application to Mutual Fund Characteristics
收藏NBER2022-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w29833
下载链接
链接失效反馈官方服务：
资源简介：
This paper considers extensions of two-dimensional factor models to higher-dimensional data represented as tensors. I describe decompositions of tensors that generalize the standard matrix singular value decomposition and principal component analysis to higher dimensions. I estimate the model using
提供机构：
美国国家经济研究局
创建时间：
2022-03-01
