Title: Doubly constrained factor models with applications to multivariate time series analysis
Authors: Henghsiu Tsai - Academia Sinica (Taiwan) [presenting]
Abstract: The focus is on factor analysis of multivariate time series. We propose statistical methods that enable analysts to leverage their prior knowledge or substantive information to sharpen the estimation of common factors. Specifically, we consider a doubly constrained factor model that enables analysts to specify both row and column constraints of the data matrix to improve the estimation of common factors. The row constraints may present classifications of individual subjects whereas the column constraints may show the categories of variables. We derive both the maximum likelihood and least squares estimates of the proposed doubly constrained factor model and use simulation to study the performance of the analysis in finite samples. Real data are used to demonstrate the application of the proposed model.