Aggregated Projection Method: A New Approach for Group Factor Model
聚合投影法:组因子模型的新方法
Identifying the global factors among grouped data is crucial in the group factor model. In this paper, we propose a novel objective function for the task by maximizing the average of correlations between the latent global factors and group factors, solved through the eigen-decomposition of the aggregated projection matrix. Our method is not only computationally efficient but also robust to strongly correlated local factors. We establish the consistency of the global/local…