Identifying the number of factors from singular values of a large sample auto-covariance matrix (Q524459)
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scientific article; zbMATH DE number 6710511
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| English | Identifying the number of factors from singular values of a large sample auto-covariance matrix |
scientific article; zbMATH DE number 6710511 |
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Identifying the number of factors from singular values of a large sample auto-covariance matrix (English)
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2 May 2017
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high-dimensional factor model
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high-dimensional time series
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large sample auto-covariance matrices
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spiked population model
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number of factors
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phase transition
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random matrices
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0.8018463253974915
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0.7911015152931213
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0.7855504155158997
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0.7840083837509155
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0.7752829194068909
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