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Sufficient forecasting using factor models
Jianqing Fan
, Lingzhou Xue
, Jiawei Yao
Operations Research & Financial Engineering
Bendheim Center for Finance
Center for Statistics & Machine Learning
Economics
Princeton Language and Intelligence (PLI)
Research output
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Contribution to journal
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Article
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peer-review
65
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Scopus citations
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Keyphrases
Factor Model
100%
Predictive Score
100%
Central Subspace
100%
Simulation Study
50%
Nonlinear Effects
50%
Principal Coordinate Analysis (PCoA)
50%
Asymptotic Properties
50%
Forecasting Techniques
50%
Macroeconomic Variables
50%
Predictive Power
50%
High-dimensional Factor Models
50%
Natural Methods
50%
Multiple Regression
50%
High-dimensional Predictors
50%
Projection Index
50%
Nonparametric Prediction
50%
Projected Principal Component Analysis
50%
Projection Direction
50%
Deep Learning Architectures
50%
Semiparametric Factor Models
50%
Sufficient Dimension Reduction
50%
High-dimensional Regime
50%
Linear Estimates
50%
Mathematics
Principal Component Analysis
100%
Parametric
50%
Simulation Study
50%
Asymptotic Property
50%
Predictive Power
50%
Multiple Regression
50%
Deep Learning Method
50%
Time Series
50%
Time Series Analysis
50%
Projection Direction
50%