B0373
Title: Functional factor analysis of spatial-temporal data
Authors: Chi Tim Ng - Hang Seng University of Hong Kong (Hong Kong) [presenting]
Abstract: The aim is to investigate the likelihood inferences for functional factor analysis of high-dimensional multivariate time series data. A matrix decomposition technique is developed to obtain expressions of the likelihood functions and its derivatives. With such expressions, the traditional delta method that relies heavily on score function and Hessian matrix can be extended to high dimensional cases. Moreover, fast computational algorithms are developed for estimation. Applications to climate data and financial data are discussed.
