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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 data covariance matrix grows proportionally to N^ak with unknown exponents 0 ak = 1 for...
Persistent link: https://www.econbiz.de/10012849507
Abstract: In this paper, we consider statistical inference for high-dimensional approximate factor models. We posit a weak factor structure, in which the factor loading matrix can be sparse and the signal eigenvalues may diverge more slowly than the cross-sectional dimension, N. We propose a...
Persistent link: https://www.econbiz.de/10012839270