Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sik-Yum Lee & Ye-Mao Xia, 2006. "Maximum Likelihood Methods in Treating Outliers and Symmetrically Heavy-Tailed Distributions for Nonlinear Structural Equation Models with Missing Data," Psychometrika, Springer;The Psychometric Society, vol. 71(3), pages 565-585, September.
- Rossi P. E & Gilula Z. & Allenby G. M, 2001. "Overcoming Scale Usage Heterogeneity: A Bayesian Hierarchical Approach," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 20-31, March.
- Geweke, John & Zhou, Guofu, 1996.
"Measuring the Pricing Error of the Arbitrage Pricing Theory,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 557-587.
- John F. Geweke & Guofu Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis.
- John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers 276, China Economics and Management Academy, Central University of Finance and Economics.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Tomohiro Ando, 2007. "Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models," Biometrika, Biometrika Trust, vol. 94(2), pages 443-458.
- Sadanori Konishi, 2004. "Bayesian information criteria and smoothing parameter selection in radial basis function networks," Biometrika, Biometrika Trust, vol. 91(1), pages 27-43, March.
- Sock-Cheng Lewin-Koh, 2003. "Heteroscedastic factor analysis," Biometrika, Biometrika Trust, vol. 90(1), pages 85-97, March.
- Phillips, P. C. B., 1985. "The distribution of matrix quotients," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 157-161, February.
- Ledyard Tucker, 1940. "The role of correlated factors in factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 5(2), pages 141-152, June.
- Hamparsum Bozdogan, 1987. "Model selection and Akaike's Information Criterion (AIC): The general theory and its analytical extensions," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 345-370, September.
- Hirotugu Akaike, 1987. "Factor analysis and AIC," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 317-332, September.
- Sik-Yum Lee & Ye-Mao Xia, 2008. "A Robust Bayesian Approach for Structural Equation Models with Missing Data," Psychometrika, Springer;The Psychometric Society, vol. 73(3), pages 343-364, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
- Leung, Dennis & Drton, Mathias, 2016. "Order-invariant prior specification in Bayesian factor analysis," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 60-66.
More about this item
KeywordsBayesian methods Marginal likelihood Matrix variate t-distribution Model selection;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1717-1726. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.