FactorLIB

Versione 2.0.0.0 (1,62 MB) da Enrique M. Quilis
Static Factor Analysis
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Aggiornato 4 gen 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.

Cita come

Enrique M. Quilis (2024). FactorLIB (https://www.mathworks.com/matlabcentral/fileexchange/57309-factorlib), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2013a
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Versione Pubblicato Note della release
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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