Estimating Number of Factors by Adjusted Eigenvalues Thresholding
Author:
Affiliation:
1. Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ;;
2. School of Mathematics and Statistics and KLAS, Northeast Normal University, Changchun, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2020.1825448
Reference35 articles.
1. Eigenvalue Ratio Test for the Number of Factors
2. Determining the Number of Factors in Approximate Factor Models
3. ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS
4. Eigenvalues of large sample covariance matrices of spiked population models
5. Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
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