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

DOI10.1093/BIOMET/ASZ073zbMATH Open1441.62160OpenAlexW3004539497MaRDI QIDQ5113027FDOQ5113027

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

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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)

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
• High-dimensional estimation of quadratic variation based on penalized realized variance
• Robust estimation of the number of factors for the pair-elliptical factor models

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