Eigenvalue ratio test for the number of factors
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Cited in
(only showing first 100 items - show all)- Bi-cross-validation for factor analysis
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Factor-Adjusted Regularized Model Selection
- Projected estimation for large-dimensional matrix factor models
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Recent developments in high dimensional covariance estimation and its related issues, a review
- On two-sample mean tests under spiked covariances
- Robust determination for the number of common factors in the approximate factor models
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Heterogeneity adjustment with applications to graphical model inference
- Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
- Large-dimensional factor modeling based on high-frequency observations
- Eigenvalue difference test for the number of common factors in the approximate factor models
- Quasi maximum likelihood analysis of high dimensional constrained factor models
- Estimation of random coefficients logit demand models with interactive fixed effects
- Factor-adjusted multiple testing of correlations
- A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
- A rank test for the number of factors with high-frequency data
- Robust factor number specification for large-dimensional elliptical factor model
- On factor models with random missing: EM estimation, inference, and cross validation
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Robust high-dimensional factor models with applications to statistical machine learning
- Estimating change-point latent factor models for high-dimensional time series
- Tests for the explanatory power of latent factors
- Feature extraction for functional time series: theory and application to NIR spectroscopy data
- A high-dimensional test for multivariate analysis of variance under a low-dimensional factor structure
- Grouped spatial autoregressive model
- Adaptive estimation in multivariate response regression with hidden variables
- Poisson reduced-rank models with sparse loadings
- Rank determination in tensor factor model
- Inference in latent factor regression with clusterable features
- Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
- A high-dimensional test on linear hypothesis of means under a low-dimensional factor model
- Robust estimation of the number of factors for the pair-elliptical factor models
- Testing the eigenvalue structure of spot and integrated covariance
- Bayesian factor-adjusted sparse regression
- Multi-population modelling and forecasting life-table death counts
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Dimensionality determination: a thresholding double ridge ratio approach
- Sequential testing for structural stability in approximate factor models
- Estimating latent asset-pricing factors
- Government spending and heterogeneous consumption dynamics
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- A time-varying diffusion index forecasting model
- Nonlinear factor models for network and panel data
- Estimating and testing high dimensional factor models with multiple structural changes
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
- Detecting granular time series in large panels
- Panel threshold models with interactive fixed effects
- On time-varying factor models: estimation and testing
- Testing for the null of block zero restrictions in common factor models
- A robust procedure to build dynamic factor models with cluster structure
- A diagnostic criterion for approximate factor structure
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Inferences in panel data with interactive effects using large covariance matrices
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Autoencoder asset pricing models
- High dimensional minimum variance portfolio estimation under statistical factor models
- Factor models with local factors -- determining the number of relevant factors
- Canonical correlation-based model selection for the multilevel factors
- Group fused Lasso for large factor models with multiple structural breaks
- High-dimensional VARs with common factors
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Large dimensional latent factor modeling with missing observations and applications to causal inference
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Nonstationary fractionally integrated functional time series
- A Behrens-Fisher problem for general factor models in high dimensions
- Deterministic parallel analysis: an improved method for selecting factors and principal components
- A noisy principal component analysis for forward rate curves
- D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- A randomized sequential procedure to determine the number of factors
- Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
- Embracing the blessing of dimensionality in factor models
- Detecting big structural breaks in large factor models
- Risks of large portfolios
- Asymptotic analysis of the squared estimation error in misspecified factor models
- A high dimensional two-sample test under a low dimensional factor structure
- Bias correction for time series factor models
- Testing for factor loading structural change under common breaks
- Analyzing business cycle asymmetries in a multi-level factor model
- Estimating the common break date in large factor models
- Smart Alpha: active management with unstable and latent factors
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- F-test and z-test for high-dimensional regression models with a factor structure
- Double-Matched Matrix Decomposition for Multi-View Data
- Vertex Nomination Between Graphs via Spectral Embedding and Quadratic Programming
- Determining the number of factors when the number of factors can increase with sample size
- Identification and estimation of a large factor model with structural instability
- Time series models for realized covariance matrices based on the matrix-F distribution
- A self-reliant projected information criterion for the number of factors
- A multi-step procedure to determine the number of factors in large approximate factor models
- A criterion for the number of factors
- Cross-Sectional Dependence in Panel Data Analysis
- Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
- A random-perturbation-based rank estimator of the number of factors
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