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Random selection of factors preserves the correlation structure in a linear factor model to a high degree
In a very high-dimensional vector space, two randomly-chosen vectors are almost orthogonal with high probability. Starting from this observation, we develop a statistical factor model, the random factor model, in which factors are chosen stochastically based on the random projection method. Randomne...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6303047/ https://www.ncbi.nlm.nih.gov/pubmed/30576318 http://dx.doi.org/10.1371/journal.pone.0206551 |