A criterion for the number of factors

DOI10.1080/03610926.2020.1713376MaRDI QIDQ5078906zbMATH OpenOpenAlexFDO

Authors Ard H. J. den Reijer, Jan P. A. M. Jacobs, Pieter W. Otter

Publication date 25 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03610926.2020.1713376

zbMATH Keywords

number of factorsscree teststatic factor model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Determining the Number of Factors in Approximate Factor Models
• Eigenvalue difference test for the number of common factors in the approximate factor models
• Eigenvalue ratio test for the number of factors
• Model selection for factor analysis: some new criteria and performance comparisons

Cited in

(3)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• An heuristic scree plot criterion for the number of factors
• A penalization method to estimate the intrinsic dimensionality of data

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