Projected principal component analysis in factor models

From MaRDI portal
Publication:5963521


DOI10.1214/15-AOS1364zbMath1331.62295arXiv1406.3836WikidataQ40090480 ScholiaQ40090480MaRDI QIDQ5963521

Yuan Liao, Wei-Chen Wang, Jianqing Fan

Publication date: 22 February 2016

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

Full work available at URL: https://arxiv.org/abs/1406.3836



Related Items

Supervised singular value decomposition and its asymptotic properties, Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors, Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications, Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions, Doubly debiased Lasso: high-dimensional inference under hidden confounding, Nonparametric fixed effects model for panel data with locally stationary regressors, Recent developments in high dimensional covariance estimation and its related issues, a review, A self-reliant projected information criterion for the number of factors, Continuum directions for supervised dimension reduction, Estimation and inference in semiparametric quantile factor models, Autoencoder asset pricing models, High dimensional minimum variance portfolio estimation under statistical factor models, Large covariance estimation through elliptical factor models, An integrated panel data approach to modelling economic growth, Estimating latent asset-pricing factors, Uniform predictive inference for factor models with instrumental and idiosyncratic betas, Intraday cross-sectional distributions of systematic risk, Large dimensional latent factor modeling with missing observations and applications to causal inference, Robust projected principal component analysis for large-dimensional semiparametric factor modeling, Factor Models for High-Dimensional Tensor Time Series, Rejoinder, Heterogeneity adjustment with applications to graphical model inference, Sparse online principal component analysis for parameter estimation in factor model, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, Robust covariance estimation for approximate factor models, A semiparametric latent factor model for large scale temporal data with heteroscedasticity, Least squares estimation of large dimensional threshold factor models, Supervised multiway factorization, Sufficient forecasting using factor models, Quasi maximum likelihood analysis of high dimensional constrained factor models, Semi-parametric single-index panel data models with interactive fixed effects: theory and practice, Time varying factor models with possibly strongly correlated noises, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components


Uses Software


Cites Work