Martingale approximation of eigenvalues for common factor representation

In this paper a martingale approximation is used to derive an asymptotic distribution of simple positive eigenvalues of the sample covariance matrix for a stationary 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:	2013
Authors:	Bystrov, Victor ; di Salvatore, Antonietta
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 233-237
Publisher:	Elsevier
Subject:	Martingale approximation \| Dynamic factor model \| Eigenvalue \| Stability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010593920