Quasi maximum likelihood estimation for large-dimensional matrix factor models-Reference-Cited by-同舟云学术

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Quasi maximum likelihood estimation for large-dimensional matrix factor models

Published:2024-08-20 Issue: Volume: Page:1-25
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Xu Sainan¹²,Yuan Chaofeng¹^ORCID,Guo Jianhua³

Affiliation:

1. KLCSTC and School of Mathematical Science, Heilongjiang University, Harbin, China

2. School of Mathematics and Statistics, Northeast Normal University, Changchun, China

3. School of Mathematics and Statistics, Beijing Technology and Business University, Beijing, China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2393724

Reference29 articles.

1. Amemiya Y. Wayne A. F. & Sastry G. P. (1987). The asymptotic distributions of some estimators for a factor analysis model. Journal of Multivariate Analysis 22 51–64.

2. Bai J. & Liao Y. (2016). Efficient estimation of approximate factor models via penalized maximum likelihood. Journal of Econometrics 191 1–18.

3. Bai J. S. & Li K. P. (2012). Statistical analysis of factor models of high dimension. The Annals of Statistics 40 436–465.

4. Bai J. S. & Li K. P. (2016). Maximum likelihood estimation and inference for approximate factor models of high dimension. The Review of Economics and Statistics 98 298–309.

5. Bolla M. (2001). Parallel factoring of strata. In Proceedings of the 23rd International Conference on Information Technology Interfaces 2001. ITI 2001. (pp. 259–266). IEEE.

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