FactorLIB

Static Factor Analysis
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更新时间 2020/1/4

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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.

引用格式

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

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创建方式 R2013a
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版本 已发布 发行说明
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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