High dimensional factor analysis with weak factors

DOI10.1016/J.JECONOM.2025.106086MaRDI QIDQ6889455zbMATH OpenFDO

Authors Jungjun Choi, Ming Yuan

Publication date 4 December 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106086

zbMATH Keywords

approximate factor modelleave-one-out analysisprincipal componentsweak factorsweak loadings

Mathematics Subject Classification ID

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

Cites work

• Approximate factor models with weaker loadings
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Determining the Number of Factors in Approximate Factor Models
• Entrywise eigenvector analysis of random matrices with low expected rank
• Estimation of Sparsity-Induced Weak Factor Models
• Factor models with many assets: strong factors, weak factors, and the two-pass procedure
• Forecasting Using Principal Components From a Large Number of Predictors
• Implicit regularization in nonconvex statistical estimation: gradient descent converges linearly for phase retrieval, matrix completion, and blind deconvolution
• Inference and uncertainty quantification for noisy matrix completion
• Inferential Theory for Factor Models of Large Dimensions
• Noisy matrix completion: understanding statistical guarantees for convex relaxation via nonconvex optimization
• Nonconvex Rectangular Matrix Completion via Gradient Descent Without ℓ₂,_∞ Regularization
• Rank regularized estimation of approximate factor models

Cited in

(1)

• Sparse generalized factor models with weaker loadings

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