CEU Electronic Theses and Dissertations, 2010
| Author | Kurdyukova, Anna |
|---|---|
| Title | Factor models |
| Summary | The work is organized as follows. The first part of it is devoted to the fundamental models in the field of Factor analysis. In Section 2 we discuss the two main types of Factor analysis and describe the performance procedures. In Section 3 we provide the basic concepts we need for further research and mention the questions that must be answered in any factor analytic study. In Section 4 we discover Principal component analysis and give some connected results. Section 5 is devoted to a basic model of Factor analysis and the most popular methods of parameter estimation. All necessary steps of Factor analysis are also discussed in this section. In the second part of the work we study the applications of Factor models in economics. Section 6 provides us with basic concepts of Time series theory. The Dynamic Factor model is described in Section 7. Further, in Section 8 our particular model is given together with the extraction algorithm. Sections 9 discusses the problem of finding optima of inhomogeneous quadratic forms, which has to be solved while implementing the algorithm. We show the example of application of our model in Section 10. In Section 11 some conclusions are listed, as well as the topics of further possible research. Some figures and tables, illustrating the Example from Section 10, are shown at the end. |
| Supervisor | Bolla Marianna |
| Department | Mathematics MSc |
| Full text | https://www.etd.ceu.edu/2010/kurdyukova_anna.pdf |
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