Estimation of Weak Factor Models
| Autor: | Takashi Yamagata, Yoshimasa Uematsu |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
History
Polymers and Plastics Degree (graph theory) Estimator Industrial and Manufacturing Engineering Principal component analysis Applied mathematics Growth rate Business and International Management Rotation (mathematics) Factor regression model Eigenvalues and eigenvectors Factor analysis Mathematics |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3374750 |
| Popis: | This paper investigates estimation of sparsity-induced weak factor (sWF) models, with large cross-sectional and time-series dimensions (N and T, respectively). It assumes that the kth largest eigenvalue of a data covariance matrix grows proportionally to N^alpha_k with unknown exponents 0 < alpha_k |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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