References
- Aguilar , O. , West , M. ( 2000 ). Bayesian dynamic factor models and portfolio allocation . J. Bus. Econ. Statist. 18 : 338 – 357 .
- Bartholomew , D. J. , Knott , M. ( 1999 ). Latent Variable Models and Factor Analysis . London : Arnold .
- Demos , A. , Sentana , E. ( 1998 ). An EM algorithm for conditionally heteroscedastic factor models . J. Bus. Econ. Statist. 16 : 357 – 361 .
- Efron , B. , Hinkley , D. V. ( 1978 ). The observed versus expected information . Biometrika 65 : 457 – 487 .
- Fahrmeier , L. , Tutz , G. ( 1994 ). Multivariate Statistical Modeling based on Generalized Linear Models . New York : Springer-Verlag .
- Fiorentini , G. , Sentana , E. , Shephard , N. (2004). Likelihood-based estimation of latent generalized ARCH structures. Econometrica 72:1481–1517.
- Gallant , A. R. , Tauchen , G. ( 1996 ). Which moments to match . Econometric Theor. 12 : 657 – 681 .
- Genton , M. G. , Ronchetti , E. ( 2003 ). Robust indirect inference . J. Amer. Statist. Assoc. 98 : 1 – 10 .
- Gourieroux , C. , Monfort , A. , Renault , A. E. ( 1993 ). Indirect inference . J. Appl. Econometrics 8 ( Suppl. ): S85 – S118 .
- Lavergne , C. , Trottier , C. ( 2000 ). Sur l'estimation dans les modèles linéaires généralisés á effets aléatoires . Revue de Statistique Appliquée XLVIII : 49 – 67 .
- Louis , T. A. ( 1982 ). Finding the observed information matrix when using the EM algorithm . J. Roy. Statist. Soc. 44 : 226 – 233 .
- McCullagh , P. , Nelder , J. A. ( 1989 ). Generalized Linear Models , 2nd ed. New York : Chapman & Hall .
- McLachlan , G. J. , Krishnan , T. ( 2008 ). The EM Algorithm and Extensions . Wiley Series in Probability and Statistics . New York : John Wiley & Sons, Inc .
- Moustaki , I. ( 1996 ). A latent trait and a latent class model for mixed observed variables . Bri. J. Mathemat. Statist. Psychol. 49 : 313 – 334 .
- Moustaki , I. , Knott , M. ( 2000 ). Generalized latent trait models . Psychometrika 65 : 391 – 411 .
- Moustaki , I. , Victoria-Feser , M. P. ( 2006 ). Bounded-influence robust estimation in generalized linear latent variable models . J. Amer. Statist. Assoc. 104 : 644 – 653 .
- Rubin , D. B. , Thayer , D. T. ( 1983 ). More on EM for ML factor analysis . Psychometrika 48 : 253 – 257 .
- Saidane , M. , Lavergne , C. ( 2011 ). Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series? Amer. J. Mathemat. Manage. Sci. 31 : 73 – 116 .
- Sammel , M. D. , Ryan , L. M. , Legler , J. M. ( 1997 ). Latent variable models for mixed discrete and continuous outcomes . J. Roy. Statist. Soc. Ser. B 59 : 667 – 678 .
- Skrondal , A. , Rabe-Hesketh , S. ( 2006 ). Generalized Latent Variable Modelling: Multilevel, Longitudinal, and Structural Equation Models . London : Chapman & Hall .
- Wedel , M. , Kamakura , W. ( 2001 ). Factor analysis with mixed observed and latent variables in the exponential family . Psychometrika 66 : 515 – 30 .
- Zacks , S. ( 1971 ). The Theory of Statistical Inference . New York : Wiley, p. 230 .