Identifying the number of factors using a white noise test

DOI10.1016/J.SPL.2019.04.011MaRDI QIDQ2322652zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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

Cited in

(2)

• Estimating the number of factors to include in a high-dimensional multivariate bilinear model
• Identifying the number of factors from singular values of a large sample auto-covariance matrix

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