Identifying the number of factors from singular values of a large sample auto-covariance matrix

DOI10.1214/16-AOS1452zbMath1426.62262arXiv1410.3687OpenAlexW1034866458MaRDI QIDQ524459

Zeng Li, Qinwen Wang, Jian-feng Yao

Publication date: 2 May 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.3687

zbMATH Keywords

random matricesphase transitionhigh-dimensional time seriesspiked population modelnumber of factorshigh-dimensional factor modellarge sample auto-covariance matrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (algebraic aspects) (15B52)

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