https://scholars.lib.ntu.edu.tw/handle/123456789/105418
標題: | A novel algorithm for dynamic factor analysis | 作者: | Huang, Jih-Jeng Tzeng, Gwo-Hshiung Ong, Chorng-Shyong |
關鍵字: | Cross-correlation matrices (CCM); Dynamic factor model; Factor analysis; Independent component analysis (ICA); Time series | 公開日期: | 2006 | 卷: | 175 | 期: | 2 | 起(迄)頁: | 1288-1297 | 來源出版物: | Applied Mathematics and Computation | 摘要: | In this paper, a dynamic factor model is proposed to extract the dynamic factors from time series data. In order to deal with the problem of scaling, the cross-correlation matrices (CCM) are first employed to cluster the time series data. Then, the dynamic factors are extracted using the revised independent component analysis (ICA). In addition, a numerical study is used to demonstrate the proposed method. On the basis of the simulated results, we can conclude that the proposed method can really extract the effective dynamic factors. © 2005 Elsevier Inc. All rights reserved. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/84963 https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645867652&doi=10.1016%2fj.amc.2005.08.032&partnerID=40&md5=d2be916dd097c3b934d39587f6fabbb2 |
ISSN: | 00963003 | SDG/關鍵字: | Algorithms; Computer simulation; Independent component analysis; Numerical methods; Problem solving; Time series analysis; Cross-correlation matrices (CCM); Dynamic factor models; Factor analysis; Time series data; Dynamic programming |
顯示於: | 資訊管理學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。