Applying non-negative tensor factorization to centered data (notice n° 99726)
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|---|---|
| fixed length control field | 02232cam a2200349 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112004332.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Fogel, Paul |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Applying non-negative tensor factorization to centered data |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2023.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 44 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | We present here an original application of the non-negative matrix factorization (NMF) method, applied to the case of extra-financial data. NMF allows to reduce the useful dimension of a dataset by simultaneously creating new meta-features linked to the original variables through non-negative loadings, and nonnegative scores linking the observations to the meta-features. Thanks to the non-negativity constraints, meta-features can be easily interpreted by looking at the features with the highest loadings in the NMF representation. However, the lowest loadings are generally ignored. We show that this asymmetrical treatment can be problematic in some instances of data sets. The innovation introduced in this paper is to apply a tensorized version of NMF to centered data, which we call Semi Non-Negative Tensor Factorization (semi-NTF). The method is illustrated on a set of ESG scores of European equity issuers, resulting in a fully interpretable reduced set of meta-features. In particular, we show that the scores associated with these meta-features are significantly less correlated with each other than the ready-to-use ESG scores, leading to improved discriminatory power of the meta-features. JEL Classification: C02, C14, C65, C81. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | PCA |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | semi-NTF |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Principal Components |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | ESG data |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Interpretability |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Factor Analysis |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Semi-NMF |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | PosNegNMF |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | NTF |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Classification Methods |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Cluster Analysis |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Dimension Reduction |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | NMF |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Geissler, Christophe |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Von Mettenheim, Hans-Jörg |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Luta, George |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Bankers, Markets & Investors | 174 | 3 | 2023-11-02 | p. 2-13 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-bankers-markets-et-investors-2023-3-page-2?lang=en">https://shs.cairn.info/revue-bankers-markets-et-investors-2023-3-page-2?lang=en</a> |
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