FactorLIB

Version 2.0.0.0 (1,62 Mo) par Enrique M. Quilis
Static Factor Analysis
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Mise à jour 4 jan. 2020

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We present a library of MATLAB functions designed for the estimation and analysis of static factor models, both by the method of the principal component and by maximum likelihood. The library includes functions for the treatment of unbalanced panels, the evaluation through transversal resampling of the uncertainty associated with the estimation of the factors as well as exploratory procedures for determining the appropriate number of factors. The various functions are applied to analyze the latent structure of the yield curve of the Spanish Treasury.

Citation pour cette source

Enrique M. Quilis (2026). FactorLIB (https://fr.mathworks.com/matlabcentral/fileexchange/57309-factorlib), MATLAB Central File Exchange. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R2013a
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En savoir plus sur Dimensionality Reduction and Feature Extraction dans Help Center et MATLAB Answers
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Version Publié le Notes de version
2.0.0.0

Treatment of unbalanced panels. Evaluation through transversal resampling (bootstrap, leave-k-out). Yield curve modeling.
1.0.0.0

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