Robust determination for the number of common factors in the approximate factor models
type: Item
instance of: scholarly article
title: Robust determination for the number of common factors in the approximate factor models
zbMATH Open document ID: 1398.62378
author: Peng Zhang
published in: Economics Letters
publication date: 2018-09-03T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62H25
zbMATH DE Number: 6930662
zbMATH Keywords: approximate factor model
zbMATH Keywords: determining the number of factors
zbMATH Keywords: dominant factor
zbMATH Keywords: eigenvalues
zbMATH Keywords: transformation function
zbMATH Keywords: robust determination
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.04.026
OpenAlex ID: W2346784074
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cites work: Modelling multiple time series via common factors
cites work: Factor profiled sure independence screening
cites work: Consistently determining the number of factors in multivariate volatility modelling
DOI: 10.1016/J.ECONLET.2016.04.026
description: scientific article; zbMATH DE number 6930662