Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
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Publication:1755119
DOI10.1016/j.jmva.2018.07.001zbMath1409.62125MaRDI QIDQ1755119
Publication date: 4 January 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2018.07.001
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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