A random-perturbation-based rank estimator of the number of factors

DOI10.1093/biomet/asz073zbMath1441.62160OpenAlexW3004539497MaRDI QIDQ5113027

Xin-Bing Kong

Publication date: 9 June 2020

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asz073

zbMATH Keywords

principal component analysismatrix perturbationlarge-dimensional approximate factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05)

Related Items (4)

Robust estimation of the number of factors for the pair-elliptical factor models ⋮ Matrix-variate data analysis by two-way factor model with replicated observations ⋮ High-dimensional estimation of quadratic variation based on penalized realized variance ⋮ Stability Approach to Regularization Selection for Reduced-Rank Regression

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