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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Bystrov, Victor and di Salvatore, Antonietta (2012): Martingale approximation for common factor representation.
Classification:	C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015232812