Semiparametric Functional Factor Models with Bayesian Rank Selection
带贝叶斯秩选择的半参数函数型因子模型
Functional data are frequently accompanied by a parametric template that describes the typical shapes of the functions. However, these parametric templates can incur significant bias, which undermines both utility and interpretability. To correct for model misspecification, we augment the parametric template with an infinite-dimensional nonparametric functional basis. The nonparametric basis functions are learned from the data and constrained to be orthogonal to the…