Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051)
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scientific article; zbMATH DE number 7714181
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
scientific article; zbMATH DE number 7714181 |
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data (English)
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19 July 2023
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eigenvalue perturbation
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empirical covariance matrix
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factor model
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matrix concentration
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principal component analysis
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rank detection
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signal detection rate
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term structure
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