Homogeneity and Structure Identification in Semiparametric Factor Models
半参数因子模型中的同质性与结构识别
Factor modeling is an essential tool for exploring intrinsic dependence structures in financial and economic studies through the construction of common latent variables, including the famous Fama–French three factor models for the description of asset returns in finance. However, most of the existing statistical methods for analyzing latent factors have been developed through a linear approach. In this article, we consider a semiparametric factor model and present a…