Projected estimation for large-dimensional matrix factor models

DOI10.1016/j.jeconom.2021.04.001OpenAlexW3159581759MaRDI QIDQ159941

Xinsheng Zhang, Long Yu, Xin-Bing Kong, Yong He, Long Yu, Yong He, Xin-Bing Kong, Xin Sheng Zhang

Publication date: July 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.10285

zbMATH Keywords

column covariance matrixmatrix factor modelrow covariance matrixvector factor model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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