Determining the number of factors for high-dimensional time series

DOI10.4310/SII.2018.v11.n2.a8WikidataQ130157759 ScholiaQ130157759MaRDI QIDQ1782115

G. Richomme

Publication date: 18 September 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

eigenvaluesfactor modelsautocovariance matricesnumber of factorscontribution ratio

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84) Distribution theory (60E99)

Related Items (2)

A multi-step procedure to determine the number of factors in large approximate factor models ⋮ On determination of the number of factors in an approximate factor model

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