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A multi-factor model uses many factors in its computations to explain market phenomena and/or equilibrium asset prices.
to multi-index modeling using adaptively defined linear projections of functional data. We show that our methods enable prediction with polynomial convergence rates. The finite sample performance of our methods is studied in simulations, and is illustrated by an application to a functional regression problem. 1. Introduction
Assumptions that residuals are uncorrelated from a single-index model turns out to be inaccurate. This assumption can be improved by assuming additional indexes. 2. Once again multi-index models have developed a life of their own beyond their original purpose of estimating covariances.
19 Dec 2013
Dimension reduction can be used as an initial step in statistical modeling. Further specification of model structure is imminent and important when the reduced dimension is still greater than 1. In this article we investigate one method of specification that involves separating the linear component from the nonlinear
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