Martingale approximation of eigenvalues for common factor representation

DOI10.1016/J.SPL.2012.09.009MaRDI QIDQ1933731zbMATH OpenOpenAlexFDO

Authors Victor Bystrov, Antonietta di Salvatore

Publication date 25 January 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.09.009

zbMATH Keywords

dynamic factor modeleigenvaluemartingale approximationstability

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Martingales with continuous parameter (60G44) Asymptotic distribution theory in statistics (62E20)

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