Estimating Number of Factors by Adjusted Eigenvalues Thresholding
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Cites work
- A rank test for the number of factors with high-frequency data
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- Applied multivariate statistical analysis.
- Common risk factors in the returns on stocks and bonds
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Determining the number of factors when the number of factors can increase with sample size
- Deterministic parallel analysis: an improved method for selecting factors and principal components
- Eigenvalue ratio test for the number of factors
- Eigenvalues of large sample covariance matrices of spiked population models
- Estimation of spiked eigenvalues in spiked models
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor profiled sure independence screening
- High dimensional correlation matrices: the central limit theorem and its applications
- Identifying the number of factors from singular values of a large sample auto-covariance matrix
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
- Modelling multiple time series via common factors
- On time-varying factor models: estimation and testing
- Permutation methods for factor analysis and PCA
- Some necessary conditions for common-factor analysis
- Testing hypotheses about the number of factors in large factor models
- Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
- Vast portfolio selection with gross-exposure constraints
Cited in
(42)- Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
- Spectral Properties of Rescaled Sample Correlation Matrix
- Determining the number of factors with potentially strong within-block correlations in error terms
- Biwhitening Reveals the Rank of a Count Matrix
- Robust factor models for high-dimensional time series and their forecasting
- Matrix-variate data analysis by two-way factor model with replicated observations
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Inference for low-rank models
- Deviance matrix factorization
- Are Latent Factor Regression and Sparse Regression Adequate?
- Spectral analysis of Gram matrices with missing at random observations: convergence, central limit theorems, and applications in statistical inference
- A Decorrelating and Debiasing Approach to Simultaneous Inference for High-Dimensional Confounded Models
- Selecting the number of factors in multi-variate time series
- Large sample correlation matrices with unbounded spectrum
- High-dimensional overdispersed generalized factor model with application to single-cell sequencing data analysis
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Feature augmentations for high-dimensional learning: applications to stock market prediction using Chinese news data
- Robust determination for the number of factors in constrained approximate factor models
- A unified selection consistency theorem for information criterion-based rank estimators in factor analysis
- Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
- Two Sample Test for Covariance Matrices in Ultra-High Dimension
- Entrywise splitting cross-validation in generalized factor models: from sample splitting to entrywise splitting
- A refined bootstrap procedure for high-dimensional factor-augmented regression models
- Prediction of Cognitive Function via Brain Region Volumes with Applications to Alzheimer’s Disease Based on Space-Factor-Guided Functional Principal Component Analysis
- Distributed estimation and inference for high-dimensional confounded models
- Testing high-dimensional covariance structures using double-normalized observations
- Model-free latent confounder-adjusted feature selection with FDR control
- Moderate deviation principle for the determinant of sample correlation matrix
- Robust Estimation for Number of Factors in High Dimensional Factor Modeling via Spearman Correlation Matrix
- High-dimensional large-scale mixed-type data imputation under missing at random
- Kaiser criterion in factor models
- A Bayesian sparse factor model with adaptive posterior concentration
- Factor Modeling for High-Dimensional Functional Time Series
- Data Thinning for Poisson Factor Models and its Applications
- Estimating the number of significant components in high-dimensional principal component analysis
- High-dimensional inference for single-index models with latent factors
- Tail-robust factor modelling of vector and tensor time series in high dimensions
- Spectral properties of high-dimensional rescaled sample correlation matrices
- Noise variance estimation in a large-dimensional approximate factor model and its application
- Sparse generalized factor models with weaker loadings
- High-Dimensional Spatial Autoregression with Latent Factors by Diversified Projections
- Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging
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