Statistical analysis of factor models of high dimension

DOI10.1214/11-AOS966zbMath1246.62144arXiv1205.6617MaRDI QIDQ450044

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.6617

zbMATH Keywords

maximum likelihood estimation principal components factor loadings idiosyncratic variances

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20)

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