Exact and asymptotic tests on a factor model in low and large dimensions with applications
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Publication:739589
DOI10.1016/j.jmva.2016.05.011zbMath1397.62209arXiv1407.0471OpenAlexW2964077319MaRDI QIDQ739589
Publication date: 18 August 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.0471
random matrix theoryfactor modelprecision matrixexact testinverse Wishart distributionasymptotic testhigh-dimensional asymptoticshigh-dimensional test
Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Statistical methods; risk measures (91G70) Hypothesis testing in multivariate analysis (62H15) Exact distribution theory in statistics (62E15) Random matrices (probabilistic aspects) (60B20)
Related Items (10)
Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Sequential monitoring of high‐dimensional time series ⋮ Exact test theory in Gaussian graphical models ⋮ Discriminant analysis in small and large dimensions ⋮ Recent advances in functional data analysis and high-dimensional statistics ⋮ Optimal shrinkage estimator for high-dimensional mean vector ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting
Uses Software
Cites Work
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