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

large-dimensional approximate factor modelmatrix perturbationprincipal component analysis

Mathematics Subject Classification ID

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

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Cited in

(8)

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

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