Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
Author:
Affiliation:
1. Department of Statistics, Harvard University, Cambridge, MA;
2. Department of Biostatistics, Harvard T.H. Chan School of Public Health, Boston, MA
Funder
National Institutes of Health
National Science Foundation
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2021.1933497
Reference36 articles.
1. Determining the Number of Factors in Approximate Factor Models
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3. Bao, Z. (2020), Personal Communications.
4. On the principal components of sample covariance matrices
5. An empirical Kaiser criterion.
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