Seminar 217, Risk Management: Interpretable proximate factors for large dimensions

Seminar 217, Risk Management: Interpretable proximate factors for large dimensions

Risk Seminar
Feb 1, 2018, 12:30 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Markus Pelger, Stanford (Speaker - Featured)
This papers deals with the approximation of latent statistical factors with sparse and easy-to-interpret proximate factors. Latent factors in a large-dimensional factor model can be estimated by principal component analysis, but are usually hard to interpret. By shrinking the factor weights, we obtain proximate factors that are easier to interpret. We show that proximate factors consisting of...