The application of spectral distribution of product of two random matrices in the factor analysis
DOI10.1007/s11425-007-0086-4zbMath1127.62080MaRDI QIDQ2465139
Zhenxiang Wu, Wuyi Ye, Baiqi Miao, Baisuo Jin
Publication date: 19 December 2007
Published in: Science in China. Series A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-007-0086-4
tables; time series; limiting spectral distribution; product of random matrices; large dimensional random matrices; factor number
62H99: Multivariate analysis
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M15: Inference from stochastic processes and spectral analysis
60F15: Strong limit theorems
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Cites Work
- A limit theorem for the eigenvalues of product of two random matrices
- On limit theorem for the eigenvalues of product of two random matrices
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
