Identifying the number of factors from singular values of a large sample auto-covariance matrix
By Zeng Li, Qinwen Wang, Jianfeng Yao. 2014
47 citations recorded by the source corpus.
Session 3B-I3 : High-dimensional Statistics: Challenges and Recent Developments - Invited Paper Session
Subfields: Condensed Matter Physics, Economics and Econometrics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/71621b7ef2b61593f883e5eb9bf52655189252b0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jianqing Fan
- Shu-rong Zheng
- Jianhua Guo
- Clifford Lam
- Jushan Bai
- Yuan Liao
- Matteo Barigozzi
- Arnak S. Dalalyan
In Statistics and Probability
- Jianqing Fan
- Shu-rong Zheng
- Jianhua Guo
- Cun-Hui Zhang
- Jinchi Lv
- Hansheng Wang
- Tommaso Cai
- Yingcun Xia
Citations in the corpus
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding (2019, background): “Li et al. (2017) proposed the information criteria similar to Bai and Ng (2002) to determine the number of common factors when the number of factors increases with the sample size.”