Identifying the number of factors using a white noise test

DOI10.1016/J.SPL.2019.04.011zbMATH Open1427.62099OpenAlexW2944212438WikidataQ127940033 ScholiaQ127940033MaRDI QIDQ2322652FDOQ2322652

Authors: Yanyan Li 

Publication date: 5 September 2019

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

Full work available at URL: https://doi.org/10.1016/j.spl.2019.04.011

Recommendations

• scientific article
• A test statistic for identification of noise processes
• Estimating the number of signals in the presence of white noise
• Identification of filtered white noises
• On testing for high-dimensional white noise
• A white noise test under weak conditions

zbMATH Keywords

factor modelsnormal approximationparametric bootstrapautocorrelationwhite noise test

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15) White noise theory (60H40)

Cites Work

• Determining the Number of Factors in Approximate Factor Models
• Factor modeling for high-dimensional time series: inference for the number of factors
• Covariance regularization by thresholding
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• Testing for high-dimensional white noise using maximum cross-correlations
• Basic properties of strong mixing conditions. A survey and some open questions
• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• Consistently determining the number of factors in multivariate volatility modelling

Cited In (1)

• Estimating the number of factors to include in a high-dimensional multivariate bilinear model

This page was built for publication: Identifying the number of factors using a white noise test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2322652)