Huber principal component analysis for large-dimensional factor models

DOI10.1016/J.JECONOM.2025.105993MaRDI QIDQ6969776zbMATH OpenFDO

Authors Yong He, Lingxiao Li, Dong Liu, Wen-Xin Zhou

Publication date 19 June 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105993

zbMATH Keywords

factor modelprincipal component analysisrank minimizationheavy-tailed dataHuber loss

Mathematics Subject Classification ID

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

Cites work

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Cited in

(4)

• Robust factor analysis with exponential squared loss
• Tail-robust factor modelling of vector and tensor time series in high dimensions
• Robust factorization for high-dimensional matrix-variate observations
• An order-invariant score-driven dynamic factor model

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