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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Volume (Year): 83 (2013)
Issue (Month): 1 ()
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References listed on IDEAS
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CEPR Discussion Papers
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- Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, 09.
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