Martingale approximation for common factor representation

In this paper a martingale approximation is used to derive the limiting distribution of simple positive eigenvalues of the sample covariance matrix for a stationary linear process. The derived distribution can be used to study stability of the common factor representation based on the principal component analysis of the covariance matrix.

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Year of publication:	2012-03-26
Authors:	Bystrov, Victor ; di Salvatore, Antonietta
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	martingale approximation \| dynamic factor model \| eigenvalue \| stability

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011110719