Approximate factor models: Finite sample distributions

DOI10.1080/10629360500107964MaRDI QIDQ5290896zbMATH OpenOpenAlexFDO

Authors Rachida Ouysse

Publication date 3 May 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360500107964

zbMATH Keywords

approximate factor modelseigenvalueseigenvectorslatent factorsorthogonal rotationprincipal componentssampling distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Factor analysis and principal components; correspondence analysis (62H25) Monte Carlo methods (65C05)

Recommendations

• Determining the Number of Factors in Approximate Factor Models
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Cites work

• Asymptotic Theory for Principal Component Analysis
• Determining the Number of Factors in Approximate Factor Models
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Measuring World Business Cycles

Cited in

(2)

• Explaining the single factor bias of arbitrage pricing models in finite samples
• Approximate factor models with weaker loadings

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