Asymptotics of the principal components estimator of large factor models with weakly influential factors (Q527936): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H25
@@ Property / Mathematics Subject Classification ID: 62H25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
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@@ Property / zbMATH DE Number @@
+6714698
@@ Property / zbMATH DE Number: 6714698 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+approximate factor models
@@ Property / zbMATH Keywords: approximate factor models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+principal components
@@ Property / zbMATH Keywords: principal components / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weakly influential factors
@@ Property / zbMATH Keywords: weakly influential factors / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weak factors
@@ Property / zbMATH Keywords: weak factors / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+inconsistency
@@ Property / zbMATH Keywords: inconsistency / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bias
@@ Property / zbMATH Keywords: bias / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+asymptotic distribution
@@ Property / zbMATH Keywords: asymptotic distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Marchenko-Pastur law
@@ Property / zbMATH Keywords: Marchenko-Pastur law / rank @@
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+W1975570699
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@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+Alternative Approximations to the Distributions of Instrumental Variable Estimators
+Normal rank
@@ Property / cites work @@
+Are more data always better for factor analysis?
@@ Property / cites work: Are more data always better for factor analysis? / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
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+Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
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+A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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+Common risk factors in the returns on stocks and bonds
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+Aggregation of linear dynamic microeconomic models
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+Q4807277
@@ Property / cites work: Q4807277 / rank @@
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@@ Property / cites work @@
+Q3247378
@@ Property / cites work: Q3247378 / rank @@
+Normal rank
@@ Property / cites work @@
+On Consistency and Sparsity for Principal Components Analysis in High Dimensions
+Normal rank
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+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
+Normal rank
@@ Property / cites work @@
+Asymptotic power of sphericity tests for high-dimensional data
+Normal rank
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+Q5449216
@@ Property / cites work: Q5449216 / rank @@
+Normal rank
@@ Property / cites work @@
+Instrumental Variables Regression with Weak Instruments
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+Q4327444
@@ Property / cites work: Q4327444 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3551026
@@ Property / cites work: Q3551026 / rank @@
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+Publication:527936