Factor regression model
The factor regression model or hybrid factor model is a special multivariate model with the following form.
where,
is the -th (known) observation.
is the -th sample (unknown) hidden factors.
is the (unknown) loading matrix of the hidden factors.
is the -th sample (known) design factors.
is the (unknown) regression coefficients of the design factors.
is a vector of (unknown) constant term or intercept.
is (unknown) error or white Gaussian noise.
Factor Regression Model, Factor Analysis Model and Regression Model
The factor regression model can be viewed as a combination of factor analysis model () and regression model ().
Alternatively, the model can be viewed as a special kind of factor model, the hybrid factor model, where, part of the factor matrix are already known.
where, is the loading matrix of the hybrid factor model and are the factors, including the known factors and unknown factors.