Factor and Idiosyncratic Empirical Processes
From MaRDI portal
Publication:5242464
DOI10.1080/01621459.2018.1469997zbMath1428.62259OpenAlexW2801409097MaRDI QIDQ5242464
Chao Xu, Chao Ying, Jiangyan Wang, Xin-Bing Kong, Jinbao Xing
Publication date: 12 November 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2018.1469997
Factor analysis and principal components; correspondence analysis (62H25) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)
Related Items (3)
Missing data analysis with sufficient dimension reduction ⋮ Matrix-variate data analysis by two-way factor model with replicated observations ⋮ Projected estimation for large-dimensional matrix factor models
Cites Work
- Oracally efficient estimation for single-index link function with simultaneous confidence band
- A smooth simultaneous confidence band for conditional variance function
- Improved penalization for determining the number of factors in approximate factor models
- Residual empirical processes for long and short memory time series
- Empirical processes of long-memory sequences
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
- On residual empirical processes of stochastic regression models with applications to time series
- On the asymptotic expansion of the empirical process of long-memory moving averages
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- The generalized dynamic factor model consistency and rates
- Factor models in high-dimensional time series: A time-domain approach
- Autoregressive coefficient estimation in nonparametric analysis
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- Forecasting Using Principal Components From a Large Number of Predictors
- NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
- A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data
- Determining the Number of Factors in the General Dynamic Factor Model
- Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- The Generalized Dynamic Factor Model
This page was built for publication: Factor and Idiosyncratic Empirical Processes