Yi-Hao Kao, Benjamin Van Roy. Learning a factor model via regularized PCA. Machine Learning, 91(3):279-303, 2013. [doi]
@article{KaoR13,
title = {Learning a factor model via regularized PCA},
author = {Yi-Hao Kao and Benjamin Van Roy},
year = {2013},
doi = {10.1007/s10994-013-5345-8},
url = {http://dx.doi.org/10.1007/s10994-013-5345-8},
researchr = {https://researchr.org/publication/KaoR13},
cites = {0},
citedby = {0},
journal = {Machine Learning},
volume = {91},
number = {3},
pages = {279-303},
}