Consistent estimation of high-dimensional factor models when the factor number is over-estimated
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Publication:2192324
DOI10.1214/20-EJS1741zbMath1447.62099arXiv1811.00306MaRDI QIDQ2192324
Publication date: 17 August 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.00306
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (3)
Consistent estimation of high-dimensional factor models when the factor number is over-estimated ⋮ Estimating change-point latent factor models for high-dimensional time series ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Uses Software
Cites Work
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