Improved penalization for determining the number of factors in approximate factor models
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Publication:613167
DOI10.1016/j.spl.2010.08.005zbMath1202.62081MaRDI QIDQ613167
Lucia Alessi, Matteo Barigozzi, Marco Capasso
Publication date: 20 December 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.08.005
62H25: Factor analysis and principal components; correspondence analysis
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