A Randomized Sequential Procedure to Determine the Number of Factors

DOI10.1080/01621459.2017.1328359zbMath1402.62167OpenAlexW2633758049MaRDI QIDQ4559712

Lorenzo Trapani

Publication date: 4 December 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/46952/

zbMATH Keywords

randomized testsnumber of factorsapproximate factor models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (12)

Rank determination in tensor factor model ⋮ Robust estimation of the number of factors for the pair-elliptical factor models ⋮ Fundamental bubbles in equity markets ⋮ Sequential testing for structural stability in approximate factor models ⋮ Consistent estimation of high-dimensional factor models when the factor number is over-estimated ⋮ Large volatility matrix analysis using global and national factor models ⋮ One-way or two-way factor model for matrix sequences? ⋮ Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data ⋮ Identifying latent factors based on high-frequency data ⋮ Matrix Factor Analysis: From Least Squares to Iterative Projection ⋮ A diagnostic criterion for approximate factor structure ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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