When ML is used to estimate parameters in Time series factor analysis, do the estimators still have such good properties as consistency, asymptotic unbias, asymptotic effiency, and asymptotic normality? And are Z-test and K-square test appropriate to applied? Why?Thanks?
Enoch Tomiwo Oladunmoye
I think its possible under the unsupervised ML framework. Factor analysis it self is a tool useful in dimensionality reduction in machine learning which could help in reducing entropy and increasing information gain based on the common variance for the purpose. of understanding the underlying pattern .
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Enoch Tomiwo Oladunmoye
More so, asymptotic normality, Z-test and chi-square are applicable under certain circumstance.
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