Confidence sets for high-dimensional empirical linear prediction (HELP) models with dependent error structure

DOI10.1016/S0378-3758(01)00311-1zbMath1033.62057MaRDI QIDQ1869135

A. Adam Ding, J. T. Gene Hwang

Publication date: 9 April 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Principal component analysisFactor analysisAsymptotic theoryPrediction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20)

Cites Work

• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Prediction Intervals, Factor Analysis Models, and High-Dimensional Empirical Linear Prediction
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