Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Jiangtao Duan, Jushan Bai, Xu Han
| Year of publication: |
2023
|
|---|---|
| Authors: | Duan, Jiangtao ; Bai, Jushan ; Han, Xu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 233.2023, 1, p. 209-236
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| Subject: | Change point estimation | Consistency | High-dimensional factor models | Nearly singular covariance matrix | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Korrelation | Correlation | Schätzung | Estimation | Strukturbruch | Structural break |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014340997