Robust factor number specification for large-dimensional elliptical factor model
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Publication:2008233
Abstract: The accurate specification of the number of factors is critical to the validity of factor models and the topic almost occupies the central position in factor analysis. Plenty of estimators are available under the restrictive condition that the fourth moments of the factors and idiosyncratic errors are bounded. In this paper we propose efficient and robust estimators for the factor number via considering a more general static Elliptical Factor Model (EFM) framework. We innovatively propose to exploit the multivariate Kendall's tau matrix, which captures the correlation structure of elliptical random vectors. Theoretically we show that the proposed estimators are consistent without exerting any moment condition when both cross-sections N and time dimensions T go to infinity. Simulation study shows that the new estimators perform much better in heavy-tailed data setting while performing comparably with the state-of-the-art methods in the light-tailed Gaussian setting. At last, a real macroeconomic data example is given to illustrate its empirical advantages and usefulness.
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Cited in
(9)- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Robust estimation of the number of factors for the pair-elliptical factor models
- Large covariance estimation through elliptical factor models
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- Large-Dimensional Factor Analysis Without Moment Constraints
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- Robust feature screening for multi-response trans-elliptical regression model with ultrahigh-dimensional covariates
- Robust projected principal component analysis for large-dimensional semiparametric factor modeling
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