Martingale approximation of eigenvalues for common factor representation

DOI10.1016/J.SPL.2012.09.009zbMath1489.60053OpenAlexW2057107248MaRDI QIDQ1933731

Victor Bystrov, Antonietta di Salvatore

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.009

zbMATH Keywords

stabilityeigenvaluemartingale approximationdynamic factor model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Martingales with continuous parameter (60G44)

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