Approximate factor models: Finite sample distributions

DOI10.1080/10629360500107964zbMath1101.62053OpenAlexW2072604603MaRDI QIDQ5290896

Rachida Ouysse

Publication date: 3 May 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360500107964

zbMATH Keywords

eigenvalueseigenvectorsprincipal componentslatent factorssampling distributionorthogonal rotationapproximate factor models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Cites Work

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• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Measuring World Business Cycles
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Asymptotic Theory for Principal Component Analysis

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