Estimating Number of Factors by Adjusted Eigenvalues Thresholding

DOI10.1080/01621459.2020.1825448OpenAlexW3088001967MaRDI QIDQ5885109

Shurong Zheng, Jianqing Fan, Jian-hua Guo

Publication date: 27 March 2023

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

Full work available at URL: https://arxiv.org/abs/1909.10710

zbMATH Keywords

random matricesfactor modelsbias correctionsnumber of factorsadjusted eigenvalues

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20)

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