A random-perturbation-based rank estimator of the number of factors

DOI10.1093/BIOMET/ASZ073MaRDI QIDQ5113027zbMATH OpenOpenAlexFDO

Authors Xin-Bing Kong

Publication date 9 June 2020

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asz073

zbMATH Keywords

principal component analysismatrix perturbationlarge-dimensional approximate factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05)

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Cited in

(6)

• Matrix-variate data analysis by two-way factor model with replicated observations
• Rank regularized estimation of approximate factor models
• A rank test for the number of factors with high-frequency data
• Stability Approach to Regularization Selection for Reduced-Rank Regression
• Robust estimation of the number of factors for the pair-elliptical factor models
• High-dimensional estimation of quadratic variation based on penalized realized variance

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