Statistical inference in factor analysis for diffusion processes from discrete observations
From MaRDI portal
Publication:6076572
DOI10.1016/j.jspi.2023.07.009arXiv2202.01481OpenAlexW4385545109MaRDI QIDQ6076572
Publication date: 17 October 2023
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.01481
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Statistical analysis of factor models of high dimension
- Discretization of processes.
- A dynamic factor model for the analysis of multivariate time series
- Factor analysis and AIC
- The asymptotic normal distribution of estimators in factor analysis under general conditions
- A new estimator of the uniqueness in factor analysis
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Basic principles of structural equation modeling. An introduction to LISREL and EQS
- Continuous time state space modeling of panel data by means of sem
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- The use of factor analysis in the statistical analysis of multiple time series
- Identifying a Simplifying Structure in Time Series
- Estimation of an Ergodic Diffusion from Discrete Observations
- Principal Component Analysis of High-Frequency Data
- Inferential Theory for Factor Models of Large Dimensions
This page was built for publication: Statistical inference in factor analysis for diffusion processes from discrete observations