Projected principal component analysis in factor models (Q5963521): Difference between revisions

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+Eigenvalue Ratio Test for the Number of Factors
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+The high-dimension, low-sample-size geometric representation holds under mild conditions
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+Improved penalization for determining the number of factors in approximate factor models
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Inferential Theory for Factor Models of Large Dimensions
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+Statistical analysis of factor models of high dimension
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+Determining the Number of Factors in Approximate Factor Models
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+Principal components estimation and identification of static factors
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+Covariance regularization by thresholding
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+Normal rank
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+GLS Estimation of Dynamic Factor Models
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+Q3947020
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+Normal rank
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+Sparse PCA: optimal rates and adaptive estimation
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+Exact matrix completion via convex optimization
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+Normal rank
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+Efficient Semiparametric Estimation of the Fama-French Model and Extensions
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+Cross-Dimensional Inference of Dependent High-Dimensional Data
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+Correlated <i>z</i>-Values and the Accuracy of Large-Scale Statistical Estimates
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+Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
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+Risks of large portfolios
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+Q4807277
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+The Generalized Dynamic Factor Model
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+Normal rank
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+Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
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+A Factor Model Approach to Multiple Testing Under Dependence
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+Determining the Number of Factors in the General Dynamic Factor Model
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+On the distribution of the largest eigenvalue in principal components analysis
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+PCA consistency in high dimension, low sample size context
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+Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
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+Factor modeling for high-dimensional time series: inference for the number of factors
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+A general framework for multiple testing dependence
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+Supervised singular value decomposition and its asymptotic properties
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+Q3785328
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+Normal rank
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+Sparse principal component analysis and iterative thresholding
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+Estimation of (near) low-rank matrices with noise and high-dimensional scaling
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Time Series Modelling With Semiparametric Factor Dynamics
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+Q5449216
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+Consistency of sparse PCA in high dimension, low sample size contexts
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+Forecasting Using Principal Components From a Large Number of Predictors
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