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)

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)

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