Asymptotic properties of correlation-based principal component analysis

DOI10.1016/J.JECONOM.2021.08.003MaRDI QIDQ2673193zbMATH OpenOpenAlexFDO

Authors Jungjun Choi, Xiye Yang

Publication date 9 June 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.08.003

zbMATH Keywords

correlation matrixeigenvalueeigenvectorhigh frequencyprincipal componentstandardized data

Mathematics Subject Classification ID

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

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Cited in

(5)

• Asymptotic theory for common principal component analysis
• Sharp detection in PCA under correlations: all eigenvalues matter
• Asymptotic properties of principal component projections with repeated eigenvalues
• Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference

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