Statistical inference for principal components of spiked covariance matrices-Reference-Cited by-同舟云学术

Statistical inference for principal components of spiked covariance matrices

Published:2022-04-01 Issue:2 Volume:50 Page:
ISSN:0090-5364
Container-title:The Annals of Statistics
language:
Short-container-title:Ann. Statist.

Author:

Bao Zhigang¹,Ding Xiucai²,Wang Jingming¹,Wang Ke¹

Affiliation:

1. Department of Mathematics, Hong Kong University of Science and Technology

2. Department of Statistics, University of California, Davis

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference82 articles.

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3. ANDERSON, T. W. (2003). An Introduction to Multivariate Statistical Analysis, 3rd ed. Wiley Series in Probability and Statistics. Wiley, Hoboken, NJ.

4. AVELLANEDA, M., HEALY, B., PAPANICOLAOU, A., PAPANICOLAOU, G. and XU, T. (2020). Principal Eigenportfolios for U.S. Equities. Available at SSRN.

5. BAI, J. and NG, S. (2006). Evaluating latent and observed factors in macroeconomics and finance. J. Econometrics 131 507–537.

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